The wild cochineal, Dactylopius opuntiae (Hemiptera: Dactylopiidae), has become a serious pest of prickly pear Opuntia ficus-indica L. in the Mediterranean region. The present study investigated the insecticidal activity of four essential oils, namely Cuminum cyminum, Cinnamomum camphora, Artemisia herba-alba, and Salvia rosmarinus against D. opuntiae nymphs and adult females in laboratory and greenhouse bioassays. Laboratory tests showed that at a concentration of 2.5%, C. cyminum oil was the most effective (inducing 100% nymph mortality at 3 h after treatment), followed by C. camphora, A. herba-alba and S. rosmarinus oils which recorded comparable mortality rates ranging from 89.40 to 100%, while S. rosmarinus and C. cyminum oils induced the highest mortality rates on adult females (88% and 86%, respectively) 8 days after treatments. Under greenhouse conditions, the combined application of C. cyminum oil (2.5%) and black soap (10 g/L) showed the highest nymphs’ mortality (100%) at 3 days after application. Adult female mortality in the greenhouse was lower than in the laboratory bioassay for all tested oils, with S. rosmarinus inducing 47% mortality at 2.5% at 14 days after the second spray. Eucalyptol was the main constituent of S. rosmarinus (41.20%) and C. camphora (56.47%) oils, and thujon-camphor was the major chemotype of A. herba-alba (30.55%/28.16%), while cuminaldehyde was the main compound of C. cyminum oil seeds (32.53%). These findings showed that the compounds of the two essential oils S. rosmarinus and C. camphora potential sources of insecticidal compounds and warrant further investigation.