Sesquiterpene lactones are of considerable interest due to their potent bioactivities, including cancer cell cytotoxicity and antineoplastic efficacy in in vivo studies. Among these compounds, artesunate, dimethylaminoparthenolide, and L12ADT peptide prodrug, a derivative of thapsigargin, are being evaluated in the current cancer clinical or preclinical trials. Based on the structures of several antitumor sesquiterpene lactones, a number of analogues showing greater potency have been either isolated as natural products or partially synthesized, and some potential anticancer agents that have emerged from this group of lead compounds have been investigated extensively. The present review focuses on artemisinin, parthenolide, thapsigargin, and their naturally occurring or synthetic analogues showing potential anticancer activity. This provides an overview of the advances in the development of these types of sesquiterpene lactones as potential anticancer agents, including their structural characterization, synthesis and synthetic modification, and antitumor potential, with the mechanism of action and structure-activity relationships also discussed. It is hoped that this will be helpful in stimulating the further interest in developing sesquiterpene lactones and their derivatives as new anticancer agents.