Cyclic acid anhydride is a not very widespread structure in nature, but with a determining role in natural products possessing this functionality in their skeleton. To the best of our knowledge, no revision of terpenes containing cyclic anhydrides has been previously reported. The result was that more than 100 terpenic cyclic anhydrides and related compounds were found to be in need of being reported. This review has been systematically organized by terpene skeletons, from the smallest to largest, describing their sources and bioactivities. In addition, different biosynthetic pathways for their final oxidations, namely, routes A, B and C, leading to the formation of these heterocyclic natural products, have been proposed. We have also included the most plausible precursors of these natural products, which mostly happened to be present in the same natural source. Some molecules derived from terpene cyclic anhydrides, such as their natural imide derivatives, have also been described due to their significant biological activity. In this sense, special attention has been paid to cantharidin because of its historical relevance and its broad bioactivity. A plausible biosynthesis of cantharidin has been proposed for the first time. Finally, cyclic anhydride structures that were firstly assigned as anhydrides and later corrected have been also described.