Existing laboratory methodologies for characterizing the pore volume compressibility of rocks are summarized. Special emphasis is placed on the two most common in the industry pore volume compressibility tests—uniaxial strain pore pressure depletion tests and uniaxial strain effective stress loading tests. We carefully overviewed a rigorous mathematical description of uniaxial deformation of porous rocks implemented in these tests, derivation of pore volume compressibility coefficients from stress-strain data, and assumptions made in these models. Many industry-relevant porous rocks demonstrate nonlinear stress-strain behavior. As a practical workflow for characterization of pore volume compressibility, we propose using piecewise linear approximations of loading diagrams with constant compressibility coefficients. The linearized model provides a suitable description of nonlinear rock response within certain limited intervals of loading trajectory. For the correct use of established pore volume compressibility properties in applications, it is important to validate that predictions are made for the equivalent loading paths, stress, and pressure levels as used in the linearization intervals. Several examples of mechanical rock behavior were considered, focusing on the end-member cases of high- and low-grain compressibility compared with bulk compressibility. We also discussed implications of some rock microstructures, including mudstones, on mechanical properties, to provide a reference for better interpretation of real rock behavior.