Modern advanced Phasor Measurement Units (PMUs) are developed with ultra-high reporting rates to meet the demand for monitoring the power systems dynamics in detail. Due to the large volume of data, the communication and storage systems are seriously challenged with the presence of Ultra-High-Density (UHD) synchrophasor and Point on Wave (POW) data. Therefore, it is an urgent task to compress the UHD data for more efficient communication and data storage. This paper proposes several methods to compress the synchrophasor and POW data in a lossless manner. First, an Improved-Time-Series-Special Compression (ITSSC) method is proposed to compress the UHD frequency data. Second, a Delta-difference Huffman method is combined with the TSSC algorithm to compress the UHD phase angle data. Finally, a cyclical high-order delta modulation method is proposed to compress the UHD POW data. The proposed models are extensively tested and compared with different existing lossless compression algorithms using the field-collected synchrophasor and POW data at different reporting rates. The results indicate that the proposed algorithms are efficient in performing lossless compression for the UHD synchrophasor and POW data in real time.