The cucurbitane-type triterpenoid glycosides, mogrosides, are the main active components of Siraitia grosvenorii fruit. Squalene and cucurbitadienol are among the intermediates of the biosynthetic pathway for the formation of cucurbitanetype triterpenoid backbones of mogrosides. It is recognized that the exogenous application of methyl jasmonate (MeJA) increases the accumulation of secondary metabolites in various plant species. Here, the effect of MeJA (50, 200, and 500 μM) on the accumulation of squalene and cucurbitadienol in the fruits of S. grosvenorii at 10, 20, and 30 days after flowering (DAF) was tested for the first time. Since mogroside II E is the main cucurbitane-type triterpenoid present at this time, its concentration was also determined. The results show that MeJA can indeed promote squalene and cucurbitadienol accumulation, the application of 500 μM MeJA at 30 DAF being optimal. The concentration of squalene and cucurbitadienol increased up to 0.43 and 4.71 μg/g dry weight (DW), respectively, both of which were 1.2-fold greater than that of the control. The content of mogroside II E increased by 15% over the untreated group. We subsequently analyzed the expression of key genes involved in the mogroside biosynthetic pathway, including the 3-hydroxy-3-methylglutaryl-coenzyme A reductase gene (SgHMGR), squalene synthetase gene (SgSQS), cucurbitadienol synthase gene (SgCS), and cytochrome P450 (SgCYP450) with quantitative real-time PCR. The results showed that transcriptional levels of these genes were upregulated following the treatment described above. Additionally, their responses in the presence of MeJA was related to the concentration and timing of MeJA treatment.