Various species of the genus Achillea L. (Asteraceae) are traditionally used worldwide for wound healing against diarrhea, flatulence, and abdominal pains, as diuretic and emmenagogue agents. In the present study, the essential oils (EOs) obtained separately from the leaves and inflorescences of wild-growing Achillea grandifolia Friv. from Mt. Menoikio and Mt. Pelion (Greece) were analyzed by Gas Chromatography–Mass Spectrometry. The major compounds found in EOs of A. grandifolia inflorescences from Mt. Menoikio were as follows: cis-thujone (36.9%), 1,8-cineole (11.9%), camphor (10.0%), ascaridole (7.3%), α-terpinene (6.4%), sabinene (4.1%), trans-thujone (3.6%), and cis-jasmone (3.4%). In leaves from Mt. Menoikio, they were as follows: cis-thujone (50.8%), 1,8-cineole (20.0%), trans-thujone (5.5%), camphor (5.5%), borneol (3.6%), and α-terpineol (3.1%). In inflorescences from Mt. Pelion, they were as follows: camphor (70.5%), camphene (5.9%), cis-jasmone (3.2%), bornyl acetate (3.2%). In leaves from Mt. Pelion, they were as follows: camphor (83.2%), camphene (3.9%), and borneol (3.7%). Subsequently, the samples were first time tested for their antioxidant activities with the interaction of EOs with DPPH (2,2-diphenyl-1-picrylhydrazyl) and their inhibition of lipid peroxidation, as well as for their anti-inflammatory activity through the soybean LOX (lipoxygenase) inhibition. All of the examined samples were found effective. A. grandifolia leaves presented the highest antioxidant potential according to the DPPH method, and the highest percentage of LOX inhibition. The study herein investigated for the first time the leaves and the inflorescences of A. grandifolia separately, and the results generally align with similar studies from neighboring countries (Turkey and Serbia) in terms of the yields and categorization of main EO compounds (oxygenated monoterpenes). However, the findings were not in agreement with previously studied Greek material, as a higher amount of cis-thujone and lower antioxidant activity are reported herein. Both the EOs of inflorescences and the leaves of the wild-growing population collected from Mt. Menoikio were characterized by a high quantity of cis-thujone (36.9% and 50.8%, respectively).