Myrrh has a long tradition in the treatment of inflammatory diseases. However, many of its (active) constituents are still unknown. In the present study, secondary metabolites were isolated from an ethanolic extract by various separation methods (liquid–liquid partition, silica and RP18 flash chromatography, CPC, and preparative HPLC), their structures were elucidated with NMR spectroscopy and mass spectrometry, and the selected compounds were tested for their effect on LPS-induced NO production by RAW 264.7 murine macrophages. Among the isolated substances are 17 sesquiterpenes (1–17) including the first 4,8-cycloeudesmane (1), a triterpene (38), two phytosterols (39, 40) and one lignan (43), which were previously unknown as natural products. Numerous compounds are described for the first time for the genus Commiphora. Eight of the eleven compounds tested (1, 29, 31, 32, 34–37) showed a statistically significant, concentration-dependent weak to moderate anti-inflammatory effect on NO production in the LPS-stimulated RAW 264.7 macrophages in vitro. For the reference substance, furanoeudesma-1,3-diene, an IC50 of 46.0 µM was determined. These sesquiterpenes might therefore be part of the multi-target molecular principles behind the efficacy of myrrh in inflammatory diseases.