The Mediterranean diet (MD) is a combination of foods mainly rich in antioxidants and anti-inflammatory nutrients that have been shown to have many health-enhancing effects. Extra-virgin olive oil (EVOO) is an important component of the MD. The importance of EVOO can be attributed to phenolic compounds, represented by phenolic alcohols, hydroxytyrosol, and tyrosol, and to secoiridoids, which include oleocanthal, oleacein, oleuropein, and ligstroside (along with the aglycone and glycosidic derivatives of the latter two). Each secoiridoid has been studied and characterized, and their effects on human health have been documented by several studies. Secoiridoids have antioxidant, anti-inflammatory, and anti-proliferative properties and, therefore, exhibit anti-cancer activity. This review summarizes the most recent findings regarding the pharmacological properties, molecular targets, and action mechanisms of secoiridoids, focusing attention on their preventive and anti-cancer activities. It provides a critical analysis of preclinical, in vitro and in vivo, studies of these natural bioactive compounds used as agents against various human cancers. The prospects for their possible use in human cancer prevention and treatment is also discussed.