We have developed a unique surface force type apparatus that allows direct measurements of the structure of a polymer layer under a confining pressure using neutron reflection. We have used this device to study the structure and the mechanical properties of a water swollen poly(styrenesulfonic acid) (PSSA) and poly(allylamine) PAH polyelectrolyte multilayer on silicon under confining pressures. A multilayer of 23 bilayers (60 nm) in thickness and terminated with a PAH layer swells to about 21% (v/v) of H2O. When the layer is then confined between a flexible plastic film and the silicon substrate, increased confining pressure gradually decreases the amount of water in the multilayer until, at 5 bar, only 10% of H2O remains. For a layer of the same number of bilayers but terminated with PSSA, the layer swells to about 28% of water, but between a confining pressure of 0-1, this is reduced to 16%, after which higher confining pressures do not lead to changes in hydration. The bulk salt concentration does not affect the structure and hydration for the layers without confinement, but a much larger degree of hydration is retained under confining pressures. Clearly both the final layer of our multilayer and the bulk salt concentration have a large effect on the layers mechanical properties. Another significant difference between the PSSA and PAH terminated multilayer is how the water is internally distributed under confining pressure. For the PAH terminated multilayer, all the H2O is squeezed out of the separate layers closer to the silicon interface, while the layers at the edge of the multilayer retain their H2O. For the PSSA terminated multilayer, the H2O is far more evenly distributed throughout the whole structure, even under pressure. An increase in bulk ionic strength weakens these effects, making the hydration in the PAH terminated layer somewhat more uniformly distributed and the PSSA terminated layer somewhat less uniformly distributed. These observations can be explained by the effect that the high electrostatic potential of the final adsorbed layer has on the dissociation of an excess of weakly charged PAH monomers in the multilayer and supports that as the mechanism behind odd-even effects in polyelectrolyte multilayers in general.