Two new steroids, dendronesterones D (1) and E (2), featuring with 1,4-dienone moiety, along with three known steroids, methyl 3-oxochola-4,22-diene-24-oate (3), 5α,8α-epidioxy-24(S)- methylcholesta-6,22-dien-3β-ol (4), and 5α,8α-epidioxy-24(S)-methylcholesta-6,9(11),22-trien-3β-ol (5), were isolated from an octocoral Dendronephthya sp. The structures of steroids 1 and 2 were elucidated by using spectroscopic methods and steroid 1 was found to exhibit significant in vitro anti-inflammatory activity in lipopolysaccharides (LPS)-induced RAW264.7 macrophage cells by inhibiting the expression of the iNOS protein.