The genus Dionysia, belonging to the Primulaceae family, encompasses more than 50 species worldwide with a center of diversity located in the arid Irano-Turanian mountains. In this study, a phytochemical investigation of the aerial parts of D. diapensifolia Bioss. led to the isolation of 24 phenolic compounds 1–7 and 9–25, and one sesquiterpenoid 8. Compound 1 was identified as new natural product, while isolation of 2 and 3, already known as synthetic products, from a natural source is reported for the first time in the present study. Isolation of compound 8 from a Dionysia species and indeed the whole Primulaceae family is reported for the first time too. Structure elucidation was performed by extensive spectroscopic analyses (1D-, 2D-NMR, and MS), and by comparison with reported literature data. Furthermore, DP4+ chemical shift probability calculations were performed to establish the relative configuration of compound 1. Additionally, subfractions obtained by liquid-liquid extraction of the methanolic extract of the plant, and subsequently the isolated new and selected known compounds 1–4, 6, 8–11 obtained from the diethyl ether subfraction were investigated for their inhibitory effect on NO release and iNOS and COX-2 expression in J774A.1 murine macrophages. The results showed a potential anti-inflammatory activity of the obtained subfractions, of which the diethyl ether subfraction was the most active one in inhibiting NO release and COX-2 expression (p < 0.001). Among the investigated isolated compounds, compound 4 significantly (p < 0.001) inhibited NO release and iNOS and COX-2 expression in a comparable manner like the used positive controls (L-NAME and indomethacin, respectively). Moreover, other isolated substances displayed moderate to high inhibitory activities, illustrating the potential anti-inflammatory activity of Dionysia diapensifolia.