High-pressure X-ray diffraction in ScB2, TiB2, YB4 and HoB4 powders and single crystals has been studied using synchrotron radiation as well as conventional X-rays. The experimental results are supported by calculations using density functional theory. ScB2, YB4 and HoB4 are hard materials (bulk modulus 180–200GPa), while TiB2 may be classified as superhard (bulk modulus about 260GPa). We report here first experimental and theoretical determinations of the bulk modulus for HoB4 (195(5) and 198.2GPa, respectively), and first experimental values of the bulk modulus for ScB2 (196(2)GPa) and YB4 (185(4)GPa). No pressure-induced phase transformations are observed in any of the above borides up to about 20GPa. A continuous temperature-driven orthorhombic distortion is observed for HoB4 below 285K. Values of the thermal expansion coefficient are reported for ScB2 and HoB4 at 293, 200 and 100K. The thermoelastic behavior is explained in terms of bonding characteristics.