Screening enzymatic active compounds is one of the important fields in drug research. α‐Glucosidase can hydrolyze carbohydrates to monosaccharides after meals and lead to the rise of blood glucose levels in human body. Thus, the inhibition of α‐glucosidase activity is an effective approach for the diabetes treatment. In this work, we developed a new method to simultaneously screen multiple bioactive compounds within a single CE running. The affect factors on the method performance, including injection, mixing, incubation, separation and detection, were carefully analyzed and discussed. Under the optimum, the mixture consisting of two internal standards (DMSO and 4‐nitrophenol) and five compounds (lyoniresinol, hydroxytyrosol, rutin, kaempferol, and quercetin) was simultaneously screened, and kaempferol and quercetin showed stronger activity and this conclusion was also supported by offline assay. Furthermore, molecular docking was employed for investigating its interaction mechanism. Eventually, the established method has been applied to screen potential α‐glucosidase inhibitors from an extract of Lycium barbarum and the peak area of rutin, taxifolin, quercetin, and chlorogenic acid in L. barbarum samples changed before and after the enzymatic reaction, confirming that these four compounds had potential inhibitory activities, which was consistent with the literature data. The present work provides a promising method for the target and rapid discovery of bioactive compounds from a plant extract or mixture.