Mushrooms are one of the indispensable elements of human diets. Edible mushrooms stand out with their aroma and nutritional properties. In this study, some biological activities of the wild edible mushroom Hericium erinaceus were determined. In this context, firstly, the most suitable extraction conditions of the fungus in terms of biological activity were determined. First, 64 different experiments were performed with the Soxhlet device under 40–70 °C extraction temperature, 3–9 h extraction time, and 0.5–2 mg/mL extraction conditions. As a result, a total antioxidant status (TAS) analysis was performed, and the extraction conditions were optimized so that the objective function was the maximum TAS value. The data obtained from the experimental study were modeled with artificial neural networks (ANNs), one of the artificial intelligence methods, and optimized with a genetic algorithm (GA). All subsequent tests were performed using the extract obtained under optimum extraction conditions. The antioxidant capacity of the mushroom was assessed using Rel assay kits and the DPPH and FRAP techniques. The agar dilution method was used to measure the antimicrobial activity. The anti-Alzheimer activity was assessed based on the activities of acetylcholinesterase (AChE) and butyrylcholinesterase (BChE). The antiproliferative activity was assessed against the A549 cancer cell line. The total phenolic content was measured using the Folin–Ciocalteu reagent. The measurement of total flavonoids was conducted using the aluminum chloride test. LC-MS/MS equipment was used to screen for the presence of standard chemicals. The optimum extraction conditions were found to be a 60.667 °C temperature, 7.833 h, and 1.98 mg/mL. It was determined that the mushroom has high antioxidant potential. It was determined that the substance was successful at combating common bacterial and fungal strains when used at dosages ranging from 25 to 200 µg/mL. The high antiproliferative effect of the substance was attributed to its heightened concentration. The anti-AChE value was found to be 13.85 μg/mL, while the anti-BChE value was confirmed to be 28.00 μg/mL. The phenolic analysis of the mushroom revealed the presence of 13 chemicals. This investigation found that H. erinaceus exhibits robust biological activity when extracted under appropriate circumstances.