Red yeast rice dietary supplements have been proven to ameliorate hyperglycemia, but the mechanism was unclear. In this work, ankaflavin (AK) and monascin (MS), as typical pigments derived from red yeast rice, were found to exert noteworthy inhibitory ability against α-glucosidase, with an IC50 of 126.5 ± 2.5 and 302.6 ± 2.5 μM, respectively, compared with acarbose (IC50 = 341.3 ± 13.6 μM). They also exhibited mixed-type inhibition of α-glucosidase in vitro and caused fluorescence quenching through the static-quenching process. Molecular-docking studies indicated that AK and MS bind to amino acid residues outside the catalytic center, which induces structural changes in the enzyme, thus influencing its catalytic activity. The anti-glycation ability of Monascus-fermented products was evaluated, and they exhibited a high inhibition rate of 87.1% in fluorescent advanced glycation end-product formation at a concentration of 0.2 mg mL−1, while aminoguanidine showed a rate of 75.7% at the same concentration. These results will be significant in broadening the application scope of Monascus pigments, especially AK and MS, in treating type 2 diabetes.