Tanshinones are a large class of hydrophobic natural products isolated from traditional Chinese herb Salvia miltiorrhiza Bunge and related plants. Tanshinones include tanshinone E A, cryptotanshinone, tanshinone I, dihydrotanshinone, and so on. Both the tanshinones and the salvianolic acids have been identified as the characteristic and main active ingredients of Salvia miltiorrhiza Bunge with cardiovascular protective activities. Accumulated data in recent years have revealed that tanshinones possess remarkable anti-cancer activities both in vivo and in vitro. In this review, we summarize the latest progress of the anti-cancer effect and the underlying mechanisms of tanshinones, particularly with emphasis on tanshinone H A, which might provide reference for the further research and development of these compounds.