The first-principles periodic linear combination of atomic orbitals method within the framework of density functional theory implemented in the CRYSTAL06 code has been applied to explore effect of pressure on the Compton profiles and autocorrelation functions (AF) of MgO. Calculations are performed for the B1, B2, B3, B4, B8(1), and h-MgO polymorphs of MgO to compute lattice constants and bulk moduli. The isothermal enthalpy calculations predict that B4 -> B8(1), h-MgO -> B8(1), B3 -> B2, B4 -> B2, and h-MgO -> B2 transitions take place at 2, 9, 37, 42, and 64 GPa, respectively. The high-pressure transitions B8(1) -> B2 and B1 -> B2 are found to occur at 340 and 410 GPa, respectively. The pressure-dependent changes are observed largely in the valence electrons Compton profiles, whereas core profiles are almost independent of the pressure in all MgO polymorphs. Increase in pressure results in broadening of the valence electrons Compton profiles. The principal maxima in the second derivative of Compton profiles shifts toward high-momentum side in all structures. Reorganization of momentum density in the B1 -> B2 structural phase transition is seen in the first and second derivatives before and after the transition pressure. Features of the AFs shift toward smaller distances when pressure increases.