The Advanced Divertor eXperiment (ADX) [1] is a compact, high field (> 6.5 tesla), high power density tokamak, proposed by the Plasma Science and Fusion Center (PSFC) and collaborators, designed specifically to develop and test advanced divertor configurations that can accommodate the extreme plasma heat exhaust densities anticipated in next-step plasma fusion devices. ADX will also develop and test advanced technologies for Lower Hybrid Current Drive (LHCD) and Ion Cyclotron Range of Frequency (ICRF) heating, including the ability to deploy RF launch structures on the high-field-side for the first time. This potential game-changing innovation is expected to provide efficient heating and high efficiency, off-axis current drive while minimizing impurity production via plasma-launcher interactions [2, 3]. This combination of advanced divertors and innovative RF systems places unique demands on ADX's vacuum vessel (VV), which must have an integrated design that can incorporate the required poloidal field coil set and embedded infrastructure for RF feeds to the high-field-side vacuum vessel wall. Much of the ADX poloidal field (PF) coil system, toroidal field (TF) magnet and structural design is based on the successes of the C-Mod tokamak program, with the capability to operate at up to 8 tesla on axis - a rigid vacuum vessel providing structural support for the PF coils, and a liquid nitrogen cooled, demountable TF magnet. However, five separate axisymmetric structural shells and one inner cylinder are bolted together to form the VV in a novel configuration for ADX. This unique design accommodates the poloidal coil configurations required to produce the proposed advanced divertor shapes while at the same time providing flexibility for implementing alternative coil configurations. This paper describes ADX's vacuum vessel, coil system design and in-vessel components.