The honeycomb antiferromagnet BaCo2(AsO4)2, in which small in-plane magnetic fields (H1 = 0.26 T and H2 = 0.52 T at T = 1.8 K < TN = 5.4 K) induce two magnetic phase transitions, has attracted attention as a possible candidate material for the realization of Kitaev physics based on the 3d element Co2+. Here, we report on the change of the transition temperature TN and the critical fields H1 and H2 of BaCo2(AsO4)2 with hydrostatic pressure up to ~ 20 kbar, as determined from magnetization and specific heat measurements. Within this pressure range, a marginal increase of the magnetic ordering temperature is observed. At the same time, the critical fields are changed significantly (up to ~ 25-35 %). Specifically, we find that H1 is increased with hydrostatic pressure, i.e., the antiferromagnetic state is stabilized with hydrostatic pressure, whereas H2, which was previously associated with a transition into a proposed Kitaev spin liquid state, decreases with increasing pressure. These results put constraints on the magnetic models that are used to describe the low-temperature magnetic properties of BaCo2(AsO4)2.