Iron oxides are among the major constituents of the deep Earth’s interior. Among them, the epsilon phase of Fe₂O₃ is one of the less studied polymorphs and there is a lack of information about its structural, electronic and magnetic transformations at extreme conditions. Here we report the precise determination of its equation of state and a deep analysis of the evolution of the polyhedral units under compression, thanks to the agreement between our experiments and ab-initio simulations. Our results indicate that this material, with remarkable magnetic properties, is stable at pressures up to 27 GPa. Above 27 GPa, a volume collapse has been observed and ascribed to a change of the local environment of the tetrahedrally coordinated iron towards an octahedral coordination, finding evidence for a different iron oxide polymorph.