In situ high-pressure high-temperature X-ray powder diffraction studies of the cobalt-hydrogen system reveal the direct synthesis of both the binary cobalt hydride (CoH) and a novel cobalt dihydride (CoH2). We observe the formation of fcc CoH at pressures of 4 GPa, which persists to pressures of 45 GPa. At this pressure, we see the emergence with time of a further expanded fcc lattice, which we identify as CoH2, where the hydrogen atoms occupy the tetrahedral vacancies. We have explored alternative synthesis routes of CoH2 and can lower the synthesis pressure to 35 GPa by the application of high temperature. CoH2 is stable to at least 55 GPa and decomposes into CoH below 10 GPa, releasing molecular hydrogen before further decomposing completely into its constituent elements below 3 GPa. As a first-row transition metal, cobalt has a relatively lower mass than other hydride-forming transition metals, and as a result, CoH2 has a high hydrogen content of 3.3 wt. % and a volumetric hydrogen density of 214 g/l.