High-pressure experiments on methane hydrate were performed in the pressure range of 0.2-42 GPa using diamond-anvil cell. In situ x-ray-diffraction study revealed that methane hydrate of a high-pressure form, filled ice structure, survived up to 42 GPa. Pressure versus volume data were obtained in the pressure region. The filled ice structure represented large anisotropic compressibility and the volume change attained 40% at 42 GPa. The anisotropic compressibility was explained by the characteristic channel framework of the filled ice structure.