We describe here a time resolved pump-probe laser technique—picosecond interferometry—which has been combined with diamond anvil cells (DAC). This method enables the measurement of the longitudinal sound velocity up to Mbar pressure for any kind of material (solids, liquids, metals, insulators). We also provide a description of picosecond acoustics data analysis in order to determine the complete set of elastic constants for single crystals. To illustrate such capabilities, results are given on the pressure dependence of the acoustic properties for prototypical cases: polycrystal (hcp-Fe-5 wt% Si up to 115 GPa) and single-crystal (Si up to 10 GPa).