We report a detail theoretical study of the electronic structure and phase stability of transition metal oxides MnO, FeO, CoO, and NiO in their paramagnetic cubic B1 structure by employing dynamical mean-field theory of correlated electrons combined with ab initio band-structure methods. Our calculations reveal that under pressure these materials exhibit a Mott insulator-metal transition (IMT) which is accompanied by a simultaneous collapse of local magnetic moments and lattice volume, implying a complex interplay between chemical bonding and electronic correlations. Moreover, our results for the transition pressure show a monotonous decrease from ∼145 to 40 GPa, upon moving from MnO to CoO. In contrast to that, in NiO, magnetic collapse is found to occur at a remarkably higher pressure of ∼429 GPa. We provide a unified picture of such a behavior and suggest that it is primarily a localized to itinerant moment behavior transition at the IMT that gives rise to magnetic collapse in transition metal oxides.