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Diamond anvil cells have garnered significant attention in high‐pressure studies as a valuable tool for investigating material preparation, phase transition dynamics, and ultra‐high‐pressure physical chemistry. Its potential applications span fields such as materials science, condensed matter physics, chemistry, and geology. This study conducts a comprehensive review of the utilization of laser‐heated diamond anvil cell (LH‐DAC) devices in conjunction with in situ optical characterization techniques, such as X‐Ray and Raman scattering. Further, diverse in situ performance measurement methods encompassing electrical, thermal, magnetic, and acoustic analyses are examined. The development and role of the prevailing in situ measurement techniques have been described, along with the current progress in applied research for each technique. This study aims to facilitate the discovery of new structures and properties of materials under high pressure–temperature conditions. [ABSTRACT FROM AUTHOR]