Compressed air is a gas, or a combination of gases, that has been put under greater pressure than the air in the general environment.

When you pressurize a gas by compressing it into a container, you're putting all those molecules into a smaller volume of space and you're adding potential energy by the compression.

Gay Lussac's Law - states that the pressure of a given amount of gas held at constant volume is directly proportional to the Kelvin temperature.