Ferula penninervis Regel & Schmalh. is a perennial plant used in Kazakh traditional folk medicine to treat epilepsy, neurosis, rheumatism, gastroduodenal ulcers, dyspepsia, wounds, abscesses or tumors. The aim of this work was to isolate series of sesquiterpene lactones from a crude methanolic root extract and investigate their in vitro cytotoxic potential against androgen-dependent prostate cancer LNCaP and epithelial prostate PNT2 cells, as well as to evaluate their melanin production inhibitory effects in murine melanoma B16F10 cells stimulated with α-melanocyte-stimulating hormone (αMSH). Two new (penninervin P and penninervin Q) and five known (olgin, laferin, olgoferin, oferin and daucoguainolactone F) guaiane-type sesquiterpene lactones were isolated with the use of a simple and fast liquid-liquid chromatography method. Olgin and laferin showed the most promising cytotoxic effects in LNCaP cells (IC50 of 31.03 and 23.26 μg/mL, respectively). Additionally, olgin, laferin, olgoferin, and oferin (10 μg/mL) potently impaired melanin release (40.67–65.48% of αMSH + cells) without influencing the viability of B16F10 cells. In summary, our findings might indicate that guaiane-type sesquiterpene lactones from F. penninervis could be regarded as promising candidates for further research in discovering new therapeutic agents with anti-prostate cancer and skin depigmentation properties.