Theoretical and experimental studies of the pressure effect on electronic structure and magnetic properties of MB6 and MB12 borides are carried out to determine the electronic ground states and interactions responsible for the bulk and magnetic properties of these compounds. The band structure and total energy E were calculated ab initio for a number of atomic volumes, providing the equation of states, E(V), bulk moduli B, magnetic moments and susceptibilities. The temperature and pressure dependencies of magnetic susceptibility were also experimentally studied for a number of borides using a pendulum-type magnetometer. In semimetallic EuB6 the paramagnetic Curie temperature is found to be increasing with pressure, <$E d theta "/" dP~=~0,44~symbol С~0,03> K/kbar, whereas in closely related GdB6 compound the pressure effect is lower in magnitude but opposite in sign: <$E d theta "/" dP~=~-0,17~symbol С~0,03> K/kbar. The peculiar details in electronic structures are found to be responsible for distinctions in magnetic ordering and the pressure effects on indirect f - f interactions.