In general, pressure calibration in diamond anvil cells (DACs) has been achieved by mixing pressure calibration materials (PCMs) with the sample inside the pressure chamber. However, the chemical reactions between the sample and PCMs are sometimes unavoidable at extreme conditions, such as high pressure and high temperature. These undesired reactions will cause pollution, induce changes in physical properties or phase transformations of PCMs, and result in tremendous error of pressure calibration. In this paper, we report a new design of DAC with double coaxial pressure chambers, sample and PCM chambers, to resolve the challenge by isolating the PCM from the sample. Our test results show that the pressure of the two chambers presents interesting relations with the anvil setup. When the geometric parameters of two anvil sets are the same and the difference of chamber diameters is within a certain range (i.e., below 10 µm), the pressure correlation between the two chambers shows little correlation with the pressure transmitting medium before and after its solidification at both room temperature and high temperatures within the experimental condition range (well below 20 GPa and 634 K). In this case, the pressure of the sample chamber can be well calibrated by the pressure of the PCM chamber. This new DAC setup is thus proved to be effective in calibrating the sample pressure below certain conditions while avoiding undesired sample pollution and pressure induced property changes in PCMs under high pressure and high temperature conditions compared with single-chamber DACs.