The invention is directed to a device (2) for regulating the pressure of a compressed gas, comprising a body (4) with a gas inlet (6), a gas outlet (8) and a gas passage (10); a mobile element (26) biased by a main spring (28) and carrying a shutter (30) cooperating with a seat (16.2) in the gas passage (10), said shutter and said seat forming a regulating valve, a shut-off valve (12) with a shutter (14) and a seat (16.1) in the gas passage (10) upstream of the regulating valve; an actuation assembly (46, 48, 50, 52) of the shut-off valve (12); wherein the shutter (14) of the shut-off valve (12) comprises a stem (14.3) extending through the mobile element (26) and the shutter (30) of said element, for cooperating with the actuation assembly (46, 48, 50, 52) located in front of said element.