Aedes aegypti is responsible for the transmission of dengue, a disease that infects millions of people each year. Although essential oils are well recognized as sources of compounds with repellent and larvicidal activities against the dengue mosquito, much less is known about their oviposition deterrent effects. Commiphora leptophloeos, a tree native to South America, has important pharmacological properties, but the chemical profile and applicability of its essential oil in controlling the spread of the dengue mosquito have not been investigated. The aim of this study was to determine the composition of C. leptophloeos leaf oil and to evaluate its larvicidal and oviposition deterrent effects against A. aegypti. Fifty-five components of the essential oil were detected by gas chromatography (GC)—mass spectrometry, with α-phellandrene (26.3%), (E)-caryophyllene (18.0%) and β-phellandrene (12.9%) identified as the major constituents. Bioassays showed that the oil exhibited strong oviposition deterrent effects against A. aegypti at concentrations between 25 and 100 ppm, and possessed good larvicidal activity (LC50 = 99.4 ppm). Analysis of the oil by GC coupled with electroantennographic detection established that seven constituents could trigger antennal depolarization in A. aegypti gravid females. Two of these components, namely (E)-caryophyllene and α-humulene, were present in substantial proportions in the oil, and oviposition deterrence assays confirmed that both were significantly active at concentrations equivalent to those present in the oil. It is concluded that these sesquiterpenes are responsible, at least in part, for the deterrent effect of the oil. The oviposition deterrent activity of the leaf oil of C. leptophloeos is one of the most potent reported so far, suggesting that it could represent an interesting alternative to synthetic insecticides. The results of this study highlight the importance of integrating chemical and electrophysiological methods for screening natural compounds for their potential in combating vectors of insect-borne diseases.