The liquid xenon compressibility has been experimentally investigated up to pressures of ∼720 GPa. The material was compressed within an explosively driven cylindrical shell. The density was registered by the gamma-graphic method and the pressure was determined from gasdynamic calculations. Comparison of experimental and calculated results showed that the considered compression process was isentropic to a high degree. Compression of liquid xenon up to a density of ∼20 g/cm3 confirms the presence of an anomaly connected with the structural transformation at 8.37 g/cm3.