Different laser based techniques were applied to investigate the effect of gas density on the penetration of a Diesel Spray and the entrainment of the surrounding air. The experiments were conducted in a constant volume chamber under quiescent conditions. Gas density was varied in a wide range (from 1.17 kg/m3 to 40 kg/m3) while keeping temperature constant at ambient conditions. Spray penetration was measured by different techniques: Laser Doppler Velocimetry (LDV), Laser Beam Extinction (LBE) and Laser Sheet Visualisation (LSV). The results were compared to estimate the level of agreement among the techniques. A comparison with existing penetration models was also performed and an empirical law is proposed to better correlate the results. The two-dimensional gas velocity field generated by the spray was measured by LDV and compared to PIV results evidencing different peculiarities of the two techniques in describing the structure of the flow field. The gas entrainment into the spray was evaluated by LDV measurements of the radial component of the gas velocity and by direct estimation of the spray volume from LSV results. The detailed comparative analysis of data gathered by the two different techniques allowed to outline some interesting implications for spray penetration prediction and modelling.