Shading nets have been increasingly drawing research interest, as they allow us to improve the environmental conditions for greenhouse-grown crops. The effects of two shading nets (50% and 79% shading degree), plus an unshaded control, on yield, mineral composition and antioxidants of perennial wall rocket (Diplotaxis tenuifolia L.-D.C.) grown under tunnels in southern Italy were determined. The shading application resulted in a yield decrease, compared to the unshaded control, except for the highest production under 50% shading in July. The highest yield was recorded in the April–May and May–June and the lowest in July. Similar trends were recorded for plant dry weight, leaf number per rosette and mean weight, but the latter showed the highest value under 79% light extinction in July. The rocket leaves were brighter in the summer cycles than in the spring ones. Leaf nitrate was highest in spring and under 79% shading. Potassium, phosphorus, calcium and magnesium showed the highest values in spring and in the unshaded control. The lipophilic antioxidant activity showed the highest values under the 79% shading net in the spring cropping seasons, whereas in July it did not significantly differ from 50% light extinction. The hydrophilic antioxidant activity always attained the highest values in the unshaded control. The unshaded leaves had the highest total phenol accumulation when grown in April–May and the lowest in July. The total ascorbic acid content was always highest in the unshaded control leaves compared to the shading treatments. Fifty percent crop shading is, therefore, an effective sustainable tool for increasing the yield of perennial wall rocket leaves in July, when the light intensity under the plastic tunnel exceeds the plant requirements, also resulting in a mineral composition that is not significantly different from that of the unshaded crops.