An experimental platform for dynamic diamond anvil cell (dDAC) research has been developed at the High Energy Density (HED) Instrument at the European X-ray Free Electron Laser (European XFEL). Advantage was taken of the high repetition rate of the European XFEL (up to 4.5 MHz) to collect pulse-resolved MHz X-ray diffraction data from samples as they are dynamically compressed at intermediate strain rates (≤10³ s⁻¹), where up to 352 diffraction images can be collected from a single pulse train. The set-up employs piezo-driven dDACs capable of compressing samples in ≥340 µs, compatible with the maximum length of the pulse train (550 µs). Results from rapid compression experiments on a wide range of sample systems with different X-ray scattering powers are presented. A maximum compression rate of 87 TPa s⁻¹ was observed during the fast compression of Au, while a strain rate of ∼1100 s⁻¹ was achieved during the rapid compression of N₂ at 23 TPa s⁻¹.