Advances in both non-resonant and resonant X-ray magnetic diffraction since the 1980s have provided researchers with a powerful tool for exploring the spin, orbital and ion degrees of freedom in magnetic solids, as well as parsing their interplay. Here, we discuss key issues for performing X-ray magnetic diffraction on single-crystal samples under high pressure (above 40 GPa) and at cryogenic temperatures (4 K). We present case studies of both non-resonant and resonant X-ray magnetic diffraction under pressure for a spin-flip transition in an incommensurate spin-density-wave material and a continuous quantum phase transition of a commensurate all-in-all-out antiferromagnet. Both cases use diamond-anvil-cell technologies at third-generation synchrotron radiation sources. In addition to the exploration of the athermal emergence and evolution of antiferromagnetism discussed here, these techniques can be applied to the study of the pressure evolution of weak charge order such as charge-density waves, antiferro-type orbital order, the charge anisotropic tensor susceptibility and charge superlattices associated with either primary spin order or softened phonons.