The pressure effect on the Nèel temperature TN of DyB6 has been investigated by measuring the temperature dependence of electrical resistivity (ρ) at various pressures up to 8 GPa. It was found that TN increases almost linearly with pressure in the range of 0-2 GPa and then tends to saturate above 2 GPa. The pressure derivative of TN below 2 GPa was estimated to be 2.6 K/GPa. The pressure effect on the volume of DyB6 has also been measured at high pressure up to 14 GPa at room temperature using X-ray diffraction and diamond anvil cell. The pressure dependence of volume of LaB6 was also measured for the comparison. It is revealed that DyB6 is more compressible than LaB6. The origin for this observation is suggested to be due to the difference of the ionic size of the rare earth elements, or the strong electron-phonon interaction in DyB6.