Over the last decades, soft corals have been proven a rich source of biologically active compounds, featuring a wide range of chemical structures. Herein, we investigated the chemistry of an alcyonarian of the genus Lemnalia (Neptheidae), specimens of which were collected from the coral reefs near Al Lith, on the south-west coast of Saudi Arabia. A series of chromatographic separations led to the isolation of 31 sesquiterpenes, featuring mainly the nardosinane and neolemnane carbon skeletons, among which three (13, 14 and 28) are new natural products. The metabolites isolated in sufficient amounts were evaluated in vitro in human tumor and non-cancerous cell lines for a number of biological activities, including their cytotoxic, anti-inflammatory, anti-angiogenic, and neuroprotective activities, as well as for their effect on androgen receptor (AR)-regulated transcription. Among the tested metabolites, compound 12 showed comparable neuroprotective activity to the positive control N-acetylcysteine, albeit at a 10-fold lower concentration.