Recent advance in X-ray Absorption Fine Structure (XAFS) study under pressure is reviewed. After a brief introduction to XAFS and its applications to high-pressure studies, recent development of XAFS measurements under pressure at the Photon Factory is presented. We successfully obtained X-ray absorption spectra at pressures up to 10 GPa and temperatures up to 700°C using a multi-anvil type apparatus, MAX90. Results of our studies on crystalline selenium, amorphous selenium and isolated selenium chains are presented.