Environmentally friendly lead-free double perovskite materials have emerged as promising alternatives to lead-based perovskites due to their excellent optoelectronic properties and improved stability. In this study, a highly crystalline lead-free double perovskite, Cs₂AgInCl₆, is synthesized via a mild hydrothermal method, and its pressure-induced structural evolution and optoelectronic regulation up to 41.1 GPa are systematically investigated at room temperature by using diamond anvil cell (DAC) technology combined with multiple in-situ characterization methods. High-pressure synchrotron X-ray diffraction reveals a structural phase transition from the cubic phase ($Fm\bar3m $) to the tetragonal phase (I4/m) at 8.9 GPa. In-situ Raman spectroscopy further confirms this transition through the splitting of characteristic phonon modes, indicating enhanced structural anisotropy. Pressure-dependent optical absorption spectra show a distinct reversal in the trend of bandgap evolution during the phase transition, reflecting a strong coupling between the crystal structure and the electronic band structure. Remarkably, the photocurrent exhibits sustained pressure enhancement behavior, reaching twice the ambient pressure value at 41.1 GPa and the maintaining enhanced performance even after the pressure has been released completely, indicating that the structural changes caused by pressure are stable. These findings provide fundamental insights into the pressure-mediated structure-property relationships in lead-free double perovskites and offer viable strategies for optimizing optoelectronic performance through crystal engineering and strain modulation. The retained post-compression functions highlight their potential applications in non-volatile pressure-tunable photodetectors.