Raman spectroscopy, laser-induced fluorescence, and sum-frequency generation (SFG) spectroscopy are used to investigate the behavior of compressible mobile phases and stationary phases under a variety of chromatographic conditions. Efforts to understand and optimize separations employing compressible mobile phases have been limited by a lack of understanding of the mobile phase density gradient. Mobile phase compressibility leads to gradients in linear velocity and solute retention and affects separation speed and efficiency, especially in packed columns. This work describes on-column density measurement of CO2, a common carrier fluid for SFC and SGC, in packed capillary columns using Raman microspectroscopy. On-column detection by laser-induced fluorescence is used to observe the effect of the mobile phase density gradient on separation speed and efficiency, and experimental efficiency is compared to a theoretical model. Additionally, SFG spectroscopy allows for probing the structure of model monomeric and polymeric C18 stationary phases under pressure; this provides a basis for correlating selectivity with pressure-induced structural changes in stationary phase materials. Together, this work provides a more complete understanding of the role of column pressure and fluid compressibility on the speed, efficiency, and selectivity of chemical separations.