A large number of outstanding physical properties observed in perovskite-type oxides, such as giant piezoelectricity, colossal magneto-resistance and high-T c superconductivity, are related to an intrinsic nano-scaled local structure. For instance, the presence of a nano-scaled structure is characteristic of so-called relaxor ferroelectrics (relaxors), which have attracted considerable attention since the recent discovery of ultra-high strain and giant piezoelectric properties. In this paper we review, through a case study of relaxors, how the combination of the external parameter high-pressure and Raman spectroscopy allows an instructive investigation of nano-scaled perovskites, which is often at best a difficult task for conventional 'average-structure' techniques such as diffraction. We show that perovskite-type relaxors present important pressure instabilities with respect to both cation sizes and we suggest that the latter instabilities might well be at the origin of the reduced dielectric performances that are observed for strained thin-film relaxors. Finally, we briefly illustrate how the approach might be used for nano-scaled manganite-type oxides.