Mg₃Bi_2-xSb_x (0 ≤ x ≤ 2) have gained significant attention due to their potential in thermoelectric (TE) applications. However, there has been much debating regarding their structural properties and phase diagram as a function of pressure, which is crucial for understanding of their TE properties. Here, we investigate a unified phase diagram of Mg₃(Bi,Sb)₂ materials up to 40 GPa at room temperature using high-pressure X-ray diffraction. Two high-pressure phases with the structural transition succession of P3m1→ C2/m → P2₁/n are observed, which is valid for all Mg₃Bi_2-xSb_x (0 ≤ x ≤ 2) compounds. We further explore the low-pressure phase P3m1 and report that alloying does not change the quasi-isotropic compression of the unit lattice parameters nor has effect on the anisotropic bond compressibility, as recently reported for the end-members. Our study presents a comprehensive picture of Mg₃Bi_2-xSb_x as a function of pressure and chemical composition providing a solid foundation for the future experimental and theoretical studies searching for the most efficient TE compound in Mg₃(Bi,Sb)₂.