Compression behavior, pressure calibration, and yield strength of hard-brittle ceramic materials show significantly large crystal size dependent behavior, especially at high pressure. In-situ high pressure synchrotron angle-dispersive x-ray diffraction (AXRD) studies have been performed on hafnium diboride (HfB2) by using diamond anvil cell (DAC) at ambient temperature. Under quasihydrostatic compression (Run Ⅱ and Ⅳ), a second-order Birch–Murnaghan equation (BM-EoS) fit based on the observed pressure-volume data yields zero pressure bulk modulus K0 =280.9 (1.5) GPa, and 291.4 (3.8) GPa at their first pressure derivatives () were fixed as 4 for micro-HfB2 and nano-HfB2, respectively. The results manifest that HfB2 is low-compressive material. The micron-HfB2 has slightly anisotropy along a- and c-axis, but nano-HfB2 shows unusual compression behavior, and this becomes more distinct with increasing pressure. To explain this unusual phenomenon, a dual structure shell-core model has been proposed. The non-hydrostatic compression AXRD results demonstrate that the pressure value of micron-HfB2 calibrated by ruby pressure gauge are closer to actual value of the sample, and the difference between calibrated pressure value and actual value show a slightly rising trend with the increasing pressure. However, there is a reverse conclusion for nano-HfB2, which means that the pressure value of nano-HfB2 calibrated by platinum Pt gauge is closer to actual value of the sample. In addition, the microscopic deviatoric stress was investigated as a function of pressure from the line-width analysis under non-hydrostatic compression. Micron-HfB2 starts to yield a plastic deformation at around 22 GPa, and the yield strength of 19.5 GPa. In contrast, for nano-HfB2, when the loading pressure is increased from 0.7 GPa to the experimental maximum pressure of 47.2 GPa, the deviatoric stress tends to be stable and remains at ~5 GPa, that is, nano-HfB2 is difficult to yield to non-hydrostatic compression up to 47.2 GPa.