The pressure-induced cubic orthorhombic transition occurring in HgF2 was investigated via X-ray diffraction and density functional theory. The predicted, ambient cubic (Fm-3m) fluorite structure of HgF2, can be obtained using a high-pressure ramp purification process of HgF2 mixed with XeF2. Subsequently, the purified HgF2 underwent a phase transition from the fluorite to the orthorhombic cotunnite-type structure near 4.7 GPa, persisting to 63 GPa. An equation of state fit yielded a bulk modulus K-0 of 94.4 GPa for the fluorite-type structure and zero-pressure volume V-0 of 168.6 angstrom(3), and K-0 = 92.9 GPa and V-0 = 156.4 angstrom(3) for the cotunnite-type structure.