Russula vinosa Lindbl is a wild edible mushroom that is usually used for original material of food and soup and has rich nutritional value. What are the nutritional ingredients? In order to answer this question, we investigated the chemical constituents of this wild functional food. Six new compounds (1–6), together with nine known ones (7–15), were isolated from R. vinosa. The six new compounds were named as vinosane (1), rulepidadione C (2), (24E)-3,4-seco-cucurbita-4,24-diene-26,29-dioic acid-3-methyl ester (3), (24E)-3,4-seco-cucurbita-4,24-diene-26-oic acid-3-ethyl ester (4), (24E)-3β-hydroxycucurbita-5,24-diene-26,29-dioic acid (5), and (2S,3S,4R,2′R)-2-(2′-hydroxydocosanoylamino)eicosane-1,3,4-triol (6). Their structures were determined based on spectroscopic methods including HR-ESI-MS, 1D, and 2D NMR. Moreover, a cell counting kit-8 (CCK-8 kit) was used to screen for the cytotoxicity of compounds 1–5 and 7–13 on mouse macrophage RAW 264.7 cells. The results showed that compounds 1–5 and 7–13 had no obvious cytotoxicity. In addition, the inhibitory effects on nitric oxide (NO) production in lipopolysaccharide (LPS)-activated mouse macrophage RAW 264.7 cells were evaluated. Compounds 1, 3, 4, 7, 12, and 13 showed moderate inhibitory activity on NO production.