Neolentinus lepideus is a fungus consumed by rural communities in Central America and Asia due to its rich flavor; however, little information on its chemical composition is available. With this in mind, the objective of this work was to determine the content of vitamin E and C, ergosterol, and phenolic compounds of this fungus, as well as its antioxidant capacity. The quantified bioactive compounds were two isoforms of vitamin E, highlighting α-tocopherol (3370.35 mg/100 g dry weight, DW) and ergosterol (11.70 mg/100 g DW). The total phenolic content was 164.80 mg gallic acid equivalents/100 g, and nine phenolic compounds were identified (protocatechuic, p-hydroxybenzoic, caffeic, vanillic, ferulic, salicylic, p-anisic, trans-cinnamic acids, and scopoletin). The highest antioxidant capacity was detected in the lipophilic extract with TEAC (27688 μmoles Trolox equivalents/100 g). These results suggest that lipophilic compounds are among the main bioactive compounds in N. lepideus, and they might exhibit the highest radical scavenging properties in non-polar extracts.