Four new steroids, named 7-dehydroerectasteroid F (1), 11α-acetoxyarmatinol A (2), 22,23-didehydroarmatinol A (3), and 3-O-acetylhyrtiosterol (4), together with 11 previously described analogues, were isolated from a South China Sea collection of the soft coral Dendronephthya gigantea. The structures of the new steroids were elucidated by comprehensive spectroscopic analysis and by comparison with previously reported data. Compound 1 showed potent protection against H2O2-induced oxidative damage in neuron-like PC12 cells by promoting nuclear translocation of Nrf2 and enhancing the expression of HO-1. 1 represents the first steroid-type antioxidant from marine organisms.