Measurement of the optical transmission matrix (TM) of an opaque material is an advanced form of space-variant aberration correction. Beyond imaging, TM-based methods are emerging in a range of fields including optical communications, optical micro-manipulation, and optical computing. In many cases the TM is very sensitive to perturbations in the configuration of the scattering medium it represents. Therefore applications often require an up-to-the-minute characterisation of the fragile TM, typically entailing hundreds to thousands of probe measurements. In this work we explore how these measurement requirements can be relaxed using the framework of compressive sensing: incorporation of prior information enables accurate estimation from fewer measurements than the dimensionality of the TM we aim to reconstruct. Examples of such priors include knowledge of a memory effect linking input and output fields, an approximate model of the optical system, or a recent but degraded TM measurement. We demonstrate this concept by reconstructing a full-size TM of a multimode fibre supporting 754 modes at compression ratios down to ~5% with good fidelity. The level of compression achievable is dependent upon the strength of our priors. We show in this case that imaging is still possible using TMs reconstructed at compression ratios down to ~1% (8 probe measurements). This compressive TM sampling strategy is quite general and may be applied to any form of scattering system about which we have some prior knowledge, including diffusers, thin layers of tissue, fibre optics of any known refractive profile, and reflections from opaque walls. These approaches offer a route to measurement of high-dimensional TMs quickly or with access to limited numbers of measurements.