Two novel naturally occurring [4 + 2] Diels–Alder cycloaddition ergosteroids (1 and 2), three undescribed oxidized ergosteroids (3–5), and eleven known analogs (6–16) were isolated from Penicillium herquei. Compounds 1 and 2 represent the first reported cycloadducts of a steroid with 1,4,6-trimethyl-1,6-dihydropyridine-2,5-dione or 4,6-dimethyl-1,6-dihydropyridine-2,5-dione to date. Compound 3 is the C-15 epimer of (22E,24R)-9α,11β-dihydroxyergosta-4,6,8(14),22-tetraen-3-one (14). The chemical structures of these compounds were elucidated through widespread spectroscopic analyses, mainly including HRESIMS and 1D and 2D NMR data, calculated 13C NMR-DP4+ analysis, and electronic circular dichroism (ECD) data analyses. Biological evaluations of Compounds 1–16 revealed that 3, 9–11, and 15 inhibited the production of NO in LPS-induced RAW264.7 cells with an IC50 value from 7.37 ± 0.69 to 38.9 ± 2.25 μM (the positive control dexamethasone IC50: 9.54 ± 0.71 μM). In addition, Compound 3 exhibited a potent inhibitory effect on the secretion of the proinflammatory cytokines TNF-α and IL-6, the transcription level of the proinflammatory macrophage markers TNF-α, and the expression of the iNOS protein.