In contrast to shallow accepters or donors levels, the binding energies of deep impurity levels are sensitive to pressure. Transitions between shallow and deep levels can often be induced by pressure and useful information on energy levels and structural metastabilities can be derived. It is not generally well known that pressure has an opposite effect on deep donor states than on deep acceptor states. In both III-VI and II-VI semiconductors, pressure increases the binding energy of deep donors with respect to the Gamma(lc) conduction band and, at sufficiently high pressures, can make the effective-mass state unstable relative to a deep state. In contrast, the results of recent experiments by Weinstein and co-authors [High-Pressure Science and Technology, Vol. 1, p. 141, Plenum, NY (1979); J. Crystal Growth 138, 318 (1994); Phys. Rev. B (submitted)] show that the binding energies of deep acceptor states in ZnSe decrease with pressure. In this paper we present the results of ab initio pseudopotential calculations on the pressure dependence of the shallow and deep levels of Al, Ga and In donor impurities in CdTe, and of As and P acceptor impurities in ZnSe. The experimental results are proposed to arise from an upward shift in the energies of both the valence and conduction band edges with pressure. Deep states have a large degree of atomic-like character and tend to have a smaller pressure dependence than the band edges. The upward shift of the band edges, therefore, increases the binding energies of deep donors and decreases those of deep accepters.