An experimental approach to the study of thermal transport in the diamond-anvil high pressure cell is described and the elements of the thermal diffusivity tensor of beta-oxygen are reported to a pressure of 9 GPa. The anisotropy in the thermal conductivity is found to be opposite in sense to that in the velocity of acoustic waves. Results are interpreted in terms of a lattice dynamical model in which the strong interactions between an atom and its first-, second-, and third-nearest neighbors are treated in tensorial form with parameters evaluated directly from experiment.