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The structural behavior of nanocrystalline α-CuMoO₄ was studied at ambient temperature up to 2 GPa using in situ synchrotron X-ray powder diffraction. We found that nanocrystalline α-CuMoO₄ undergoes a structural phase transition into γ-CuMoO₄ at 0.5 GPa. The structural sequence is analogous to the behavior of its bulk counterpart, but the transition pressure is doubled. A coexistence of both phases was observed till 1.2 GPa. The phase transition gives rise to a change in the copper coordination from square-pyramidal to octahedral coordination. The transition involves a volume reduction of 13% indicating a first-order nature of the phase transition. This transformation was observed to be irreversible in nature. The pressure dependence of the unit-cell parameters was obtained and is discussed, and the compressibility analyzed.