Castilleja tenuiflora has been used for the treatment of several Central Nervous System (CNS) diseases. Herein we report the antidepressant activity of the methanol extract from the leaves of this medicinal plant. The oral administration of MeOH extract (500 mg/kg) induced a significant (p < 0.05) decrement of the immobility parameter on Forced Swimming Test (FST) and an increment in the latency and duration of the hypnosis, induced by administration of sodium pentobarbital (Pbi, 40 mg/kg, i.p.). Chemical analysis of this antidepressant extract allowed the isolation of (+)-piperitol-4-O-xylopyranosyl-(1→6)-O-glucopyranoside. This new furofuran lignan diglycoside was named tenuifloroside (1) and its complete chemical structure elucidation on the basis of 1D and 2D NMR spectra analysis of the natural compound 1 and its peracetylated derivative 1a is described. This compound was found together with two flavones—apigenin and luteolin 5-methyl ether—a phenylethanoid—verbascoside—and three iridoids—geniposide, caryoptoside and aucubin. All these compounds were purified by successive normal and reverse phase column chromatography. Tenuifloroside, caryoptoside and luteolin 5-methyl ether were isolated from Castilleja genus for the first time. These findings demonstrate that C. tenuiflora methanol extract has beneficial effect on depressive behaviors, and the knowledge of its chemical constitution allows us to propose a new standardized treatment for future investigations of this species in depressive illness.