A new cholesterol derivative, pentalinonsterol (cholest-4,20,24-trien-3-one, 1), and a new polyoxygenated pregnane sterol glycoside, pentalinonside (2), together with 18 known compounds, including 14 sterols (3–16), three coumarins (17–19), and a triterpene (20), were isolated from a n-hexane partition of a methanol extract of the roots of the Mexican medicinal plant Pentalinon andrieuxii. Structure elucidation of compounds 1 and 2 was accomplished by spectroscopic data interpretation. All isolates were evaluated in vitro for their antileishmanial activity. Among these compounds, 6,7-dihydroneridienone (15) was found to be the most potent principle against promastigotes of Leishmania mexicana (L. mexicana). The cholesterol analogue, pentalinonsterol (1), together with two known sterols, 24-methylcholest-4,24(28)-dien-3-one (3) and neridienone (16), also exhibited significant leishmanicidal activity in this same bioassay. Compounds 1, 3, 15, 16, cholest-4-en-3-one (4), and cholest-5,20,24-trien-3β-ol (7), showed strong antileishmanial activity against amastigotes of L. mexicana, and 4 was found to be the most potent agent with an IC50 value of 0.03 μM. All the isolates were also evaluated for their cytotoxicity in non-infected bone marrow-derived macrophages, but none of these compounds was found active towards this cell line. The intracellular parasites treated with compounds 1, 3, 4, 15, and 16 were further studied by electron microscopy; morphological abnormalities and destruction of the amastigotes were observed, as a result of treatment with these compounds.