A baffle-structured closed helical divertor (CHD) is being constructed in the Large Helical Device to actively control the edge plasma, which consists of ten discrete modules installed on the inboard side of the torus. At this stage, two of the ten modules have been constructed. In the initial experiments, the performance of the CHD was experimentally investigated, comparing with numerical expectations. During the continuous gas puffing discharge, it was observed that the neutral pressure in the CHD was more than ten times higher than that in the open helical divertor, which agrees well with the numerical simulation. In the high-density regime, an indication of divertor detachment was observed in the CHD, which was caused by the high recycling and the high-density state in the CHD. With a Penning discharge diagnostics, the neutral particle behaviour in the mixture gas discharge was investigated, measuring hydrogen and helium pressures simultaneously. Similar compression properties were observed between two gases in the CHD, although larger recycling character was seen in helium.