The thermoelastic properties of CaO over a wide range of pressure and temperature are studied using density functional theory in the generalized gradient approximation. The transition pressure taken from the enthalpy calculations is 66.7 GPa for CaO, which accords with the experimental result very well. The athermal elastic moduli of the two phases of CaO are calculated as a function of pressure up to 200 GPa. The calculated results are in excellent agreement with existing experimental data at ambient pressure and compared favourably with other pseudopotential predictions over the pressure regime studied. It is also found that the degree of the anisotropy rapidly decreases with pressure increasing in the B1 phase, whereas it strongly increases as the pressure increases in the B2 phase. The thermodynamic properties of the B1 phase of CaO are predicted using the quasi-harmonic Debye model; the heat capacity and entropy are consistent with other previous results at zero pressure.