Aquatic animals often use chemical cues to signal predation risk. When injured, shoaling fish skins release alarm substances that induce intense fear and a suite of anti-predator behaviors in other shoal members. However, the chemical nature of alarm substances remains largely unknown. Here we show that zebrafish alarm substance comprises 24-methyl-5α-cholestane-3α,7α,12α,24,28-pentahydroxy 28-sulfate, a novel oxysterol sulfate, and 5α-cyprinol sulfate. These compounds are present in zebrafish skin extract and, at concentrations of less than one nanomolar, each induces anti-predator behaviors and increases cortisol levels. Their mixture, at its natural ratio, replicates the skin extract in eliciting the full suite of anti-predator behavior patterns. Our findings reveal a molecular-level mechanism whereby fish signal predation danger.