The high-pressure behavior of CaWO4 was analyzed at room temperature by Raman spectroscopy. Pressure was generated using a diamond-anvil cell and Ne as pressure-transmitting medium. The pressure range of previous studies has been extended from 23.4 to 46.3 GPa. The experiments reveal the existence of two reversible phase transitions. The first one occurs from the tetragonal scheelite structure to the monoclinic fergusonite structure and is observed at 10 GPa. The onset of a previously unknown second transition is found at 33.4 GPa. The two high-pressure phases coexist up to 39.4 GPa. The Raman spectra measured for the low-pressure phase and the first high-pressure phase are consistent with previous studies in the pressure range where comparison is possible. The pressure dependence of all the Raman-active modes is reported for different phases. We also report total-energy and lattice-dynamics calculations, which determine the occurrence of two phase transitions in the pressure range covered by the experiments. The first transition is in full agreement with experiments (scheelite-to-fergusonite). According to calculations, the second-highest pressure phase has an orthorhombic structure (space group Cmca). Details of this structure, its Raman modes, and its electronic band structure are given. The reliability of the reported results is supported by the consistency between the theoretical and experimental values obtained for transition pressures, phonon frequencies, and phonon pressure coefficients.