Over the last 60 years, the diamond anvil cell (DAC) has emerged as the tool of choice in high pressure science because materials can be studied at megabar pressures using X-ray and spectroscopic probes. In contrast, the pressure range for neutron diffraction has been limited due to low neutron flux even at the strongest sources and the resulting large sample sizes. Here, we introduce a neutron DAC that enables break-out of the previously limited pressure range. Key elements are ball-bearing guides for improved mechanical stability, gem-quality synthetic diamonds with novel anvil support and improved in-seat collimation. We demonstrate a pressure record of 1.15 Mbar and crystallographic analysis at 1 Mbar on the example of nickel. Additionally, insights into the phase behavior of graphite to 0.5 Mbar are described. These technical and analytical developments will further allow structural studies on low-Z materials that are difficult to characterize by X-rays.