The structural, elastic, mechanical, optical, electronic, and thermodynamic properties of the CsFe2As2 compound under pressure have been investigated using first-principles density functional theory calculations. For the first time, our analysis provides crucial detailed insights into several physical properties of recently reported superconducting material CsFe2As2, which forms a crystal of tetragonal (P4/nmm) structure. Under the studied pressures, the compound is mechanically stable. Elastic moduli of CsFe2As2 are significantly affected by externally applied hydrostatic pressure. According to Pugh's ratio, Cauchy pressure, and Poisson's ratio, this compound is brittle at ambient pressure but ductile under pressure and grows more ductile with pressure. With/without pressure, the compound exhibits significant anisotropy. Melting point analysis reveals that this compound has a higher melting point, which rises in accordance with increasing pressure. The analysis of optical functions is substantially supported by research into the electronic properties. As pressure is increased, both the reflectivity and the absorption spectra move to higher energy. The DOS analysis demonstrates that the Fe-As antibonding is mostly responsible for the appearance of superconductivity in CsFe2As2. Moreover, the obtained anisotropy, sound velocity and Debye temperature for CsFe2As2 are gradually increased with pressure. This study suggests that applying pressure is an effective and environmentally friendly thermodynamic strategy for achieving desirable physicochemical changes in materials.