Chemoprevention is referred to as a strategy to inhibit, suppress, or reverse tumor development and progression in healthy people along with high-risk subjects and oncologic patients through using pharmacological or natural substances. Numerous phytochemicals have been widely described in the literature to possess chemopreventive properties, although their clinical usefulness remains to be defined. Among them, caryophyllane sesquiterpenes are natural compounds widely occurring in nature kingdoms, especially in plants, fungi, and marine environments. Several structures, characterized by a common caryophyllane skeleton with further rearrangements, have been identified, but those isolated from plant essential oils, including β-caryophyllene, β-caryophyllene oxide, α-humulene, and isocaryophyllene, have attracted the greatest pharmacological attention. Emerging evidence has outlined a complex polypharmacological profile of caryophyllane sesquiterpenes characterized by blocking, suppressing, chemosensitizing, and cytoprotective properties, which suggests a possible usefulness of these natural substances in cancer chemoprevention for both preventive and adjuvant purposes. In the present review, the scientific knowledge about the chemopreventive properties of caryophyllane sesquiterpenes and the mechanisms involved have been collected and discussed; moreover, possible structure–activity relationships have been highlighted. Although further high-quality studies are required, the promising preclinical findings and the safe pharmacological profile encourage further studies to define a clinical usefulness of caryophyllane sesquiterpenes in primary, secondary, or tertiary chemoprevention.