Four previously undescribed terpenoid glucosides, including one sesquiterpenoid di-glucoside (1), two new iridoid glucosides (2, 3), and a new triterpenoid tri-glucoside (4), were isolated from a 70% ethanol extract of the root of Gentiana macrophylla (Gentianaceae), along with eight known terpenoids. Their structures were determined by spectroscopic techniques, including 1D, 2D NMR, and HRMS (ESI), as well as chemical methods. The absolute configuration of compound 1 was determined by quantum chemical calculation of its theoretical electronic circular dichroism (ECD) spectrum. The sugar moieties of all the new compounds were confirmed to be D-glucose by GC analysis after acid hydrolysis and acetylation. Anti-pulmonary inflammation activity of the iridoids were evaluated on a TNF-α induced inflammation model in A549 cells. Compound 2 could significantly alleviate the release of proinflammatory cytokines IL-1β and IL-8 and increase the expression of anti-inflammatory cytokine IL-10.