Ultracold molecules are ideal platforms for many important applications, ranging from quantum simulation1–5 and quantum information processing 6,7 to precision tests of fundamental physics2,8–11. Producing trapped, dense samples of ultracold molecules is a challenging task. One promising approach is direct laser cooling, which can be applied to several classes of molecules not easily assembled from ultracold atoms12,13. Here, we report the production of trapped samples of laser-cooled CaF molecules with densities of 8 × 107 cm−3 and at phase-space densities of 2 × 10−9, 35 times higher than for sub-Doppler-cooled samples in free space14. These advances are made possible by efficient laser cooling of optically trapped molecules to well below the Doppler limit, a key step towards many future applications. These range from ultracold chemistry to quantum simulation, where conservative trapping of cold and dense samples is desirable. In addition, the ability to cool optically trapped molecules opens up new paths towards quantum degeneracy. Laser cooling of optically trapped diatomic molecules CaF to sub-Doppler temperatures has been achieved. The technique provides an alternative approach towards the production of ultracold polar molecules.