The present invention is directed to a pneumatic toy gun which may include a cylinder having an open end and an outlet, a piston disposed within the open end of the cylinder, and a valve having a valve inlet and a discharge outlet. The valve may have a normal position wherein the discharge outlet is sealed to prevent the flow of air through the discharge outlet, and an open position wherein the discharge outlet is unsealed to permit the flow of air through the discharge outlet, with the outlet of the cylinder being in fluid communication with the valve inlet. The pneumatic toy gun may further include a pressure gauge in fluid communication with the outlet of the cylinder and the valve inlet, with the pressure gauge having a cavity with a fluid disposed therein, and the cavity having a transparent portion through which the fluid is visible. Movement of the piston within the cylinder compresses air in the cylinder and the valve to increase the air pressure therein, and the amount of the fluid visible through the transparent portion of the pressure gauge may be proportional to the air pressure in the cylinder and the valve.