We have performed an extensive pressure-dependent structural, spectroscopic, and electrical transport study of LaCrSb$_3$. The ferromagnetic phase (T$_C$ = 120 K at p = 0 GPa) is fully suppressed by p = 26.5 GPa and the Cr-moment decreases steadily with increasing pressure. The unit cell volume decreases smoothly up to p = 55 GPa. We find that the bulk modulus and suppression of the magnetism are in good agreement with theoretical predictions, but the Cr-moment decreases smoothly with pressure, in contrast to steplike drops predicted by theory. The ferromagnetic ordering temperature appears to be driven by the Cr-moment.