Thermal pressure is an inevitable thermodynamic consequence of heating a volumetrically constrained sample in the diamond anvil cell. Its possible influences on experimentally determined density-mineralogy correlations are widely appreciated, yet the effect itself has never been experimentally measured. We present here the first quantitative measurements of the spatial distribution of thermal pressure in a laser heated diamond anvil cell (LHDAC) in both olivine and AgI. The observed thermal pressure is strongly localized and closely follows the distribution of the laser hotspot. The magnitude of the thermal pressure is of the order of the thermodynamic thermal pressure (αKTT) with gradients between 0.5 – 1.0 GPa/10 μm. Remarkably, we measure a steep gradient in thermal pressure even in a sample that is heated close to its melting line. This generates consequences for pressure determinations in pressure-volume-temperature (PVT) equation of state measurements when using an LHDAC. We show that an incomplete account of thermal pressure in PVT experiments can lead to biases in the coveted depth versus mineralogy correlation. However, the ability to spatially resolve thermal pressure in an LHDAC opens avenues to measure difficult-to-constrain thermodynamic derivative properties, which are important for comprehensive thermodynamic descriptions of the interior of planets.