Manufacture an artifact with compression
Jon Custer helpfully noted (in a comment) two common production processes that result in compression of the final product.  I did some research to discover the typical pressures involved.
Tempered Glass
Glass may be tempered by cooling the outer layer quickly, while letting the inner layer cool slowly.  As the inner layer cools, it shrinks; but because the surface layer is already cool, it cannot continue shrinking, so it experiences compression instead.  One can think of glass tempering as producing an end result in which the core glass is literally pulling the surface inward.  Very cool!
According to J.H. Nielsen, tempered glass retains compressive stress on the order of 100 MPa, if I am reading Figure 12 correctly.  This is equal to 1 Kbar.  That's 3 orders of magnitude short of the Mbar pressures created by the diamond anvil, not to mention the difficulties entailed by embedding wires in molten glass, and yet, this is at least a plausible way forward.
Shot Peening
The surface of a cold metal can be further compressed simply by banging on it really hard.  Most commonly this is accomplished by firing small metal shot at the surface at high velocity and volume.  This induces plastic deformations which have a higher density than the underlying metal, and thus a compressive strain within the surface which helps strengthen various industrial products like springs, crankshafts, and jet engine blades.
According to this source, shot peening can induce compressive strain on the order of 800-1000 MPa, according to Figure 1. However, it should be noted that the compressive layer is only about 100 μm deep.  So, this gets us up to 10 Kbar or so which is even better than glass tempering, and doesn't require high temperatures.  Very interesting!