Direct observations through a microscope and in-situ Raman scattering measurements of synthesized single-crystalline Kr hydrate have been performed at pressures up to 5.2 GPa and 296 K. We have observed that the initial cubic structure II (sII) of Kr hydrate successively transforms to a cubic structure I (sI), a hexagonal structure, and an orthorhombic structure (sO) called " filled ice" at 0.45, 0.75, and 1.8 GPa, respectively. The sO phase exists at least up to 5.2 GPa. In addition to these transformations, we have also found the new phase behavior at 1.0 GPa, which is most likely caused by the change of cage occupancy of host water cages by guest Kr atoms without structural change. Raman scattering measurements for observed phases have shown that the lattice vibrational peak at around 130 cm(-1) disappears in the pressure region of sI, which enables us to distinguish the sI phase from sII and sH phases.