In situ Raman spectroscopy and x-ray diffraction measurements are used to explore the structural stability of CaB6 at high pressures and room temperature. The results show no evidence of structural phase transitions up to at least 40 GPa. The obtained equation of state with smooth pressure dependencies yields a zero-pressure isothermal bulk modulus B0=170 (5) GPa, which agrees well with the previous measurements. The frequency shifts for A1g, Eg, and T2g vibrational modes of polycrystalline CaB6 are obtained with pressure uploading. As the pressure increases, all the vibration modes have smooth monotonic pressure dependence. The Gr ¨uneisen parameter of Eg modes is the largest, indicating its largest dependence on the volume of a crystal lattice.