The properties of Boswellia plants have been exploited for millennia in the traditional medicines of Africa, China, and especially in the Indian Ayurveda. In Western countries, the advent of synthetic drugs has obscured the pharmaceutical use of Boswellia, until it was reported that an ethanolic extract exerts anti-inflammatory and antiarthritic effects. Frankincense was commonly used for medicinal purposes. This paper aims to provide an overview of current knowledge of the volatile constituents of frankincense, with explicit consideration concerning the diverse Boswellia species. Altogether, more than 340 volatiles in Boswellia have been reported in the literature. In particular, a broad diversity has been found in the qualitative and quantitative composition of the volatiles with respect to different varieties of Boswellia. A detailed discussion of the various biological activities of Boswellia frankincense is also presented.