Potassium hydrogen fluoride (KHF2) crystallizes in the tetragonal system, space group I4/mcm, Z = 4, a = 5.668(2) Å, c = 6.801(7) Å, under ambient conditions. Energy-dispersive X-ray diffraction was used to study the compression behavior of KHF2 in a diamond anvil cell. Unit cell parameters were determined at ten different static pressures between 1 atm and 12.3 GPa, and the calculated cell volumes were found to fit a third-order Birch-Murnaghan equation of state with K0 = 25.1(15) GPa and K′ = 10.0(19). The compressibility is greatest by a factor of two parallel to z despite the short K-K distances in this direction, implying that F-F repulsion controls the compressibility behavior. A reconnaissance study to much higher pressure showed that KHF2 remains in this structure down to 67.6% of its ambient volume, at a pressure estimated as 50 GPa. The tetragonal structure appears to be stable at higher P than the a3 pyrite structure, which is unlikely to have a stability field for KHF2. The high-pressure stability of the I4/mcm structure is not surprising given that it is effectively the same as that of the highly coordinated CuAl2/Fe2B group of intermetallics. In contrast, AX2 compounds without X-X bonding adopt Ni2In-like structures at high pressure. Electron density studies and modeling suggest that the distinction between these two groups of compounds may not be rigid.