The pressure dependence of light-induced effects in single-crystalline BiFeO$_3$ is studied by optical spectroscopy. At low pressures, we observe three light-induced absorption features with energies just below the two crystal field excitations and the absorption onset, respectively. These absorption features were previously ascribed to excitons, possibly connected with the ultra-fast photostriction effect in BiFeO$_3$. The pressure-induced redshift of the absorption features follows the pressure dependence of the corresponding crystal field excitations and absorption onset, suggesting the link between them. Above the structural phase transition at $P_{mathrm{c1}}approx{}3.5$ GPa the three absorption features disappear, suggesting their connection to the polar phase in BiFeO$_3$. The pressure-induced disappearance of the photo-induced features is irreversible upon pressure release.