Recently proteasome inhibitors have been emerged as potential anticancer agents. In a continuous study on exploring proteasome inhibitors from natural products, fruiting body of Hericium erinaceum was investigated. The MeOH extracts of the fruiting body of Hericium erinaceum was fractionated with several solvents and the fractions were evaluated on the activity to screen the proteasome inhibitors. The n-Hexane and CHCl3 frs. showed potent activity, of which chemical investigations led to ergosterol peroxide (1), hericenones C (2) and D (3). Their structures were determined by spectroscopic methods such as $^1H$-NMR, $^{13}C$-NMR, and FABMS spectra.