The chemical composition and anti-tumor activity of the volatile oil from the leaves and stems of the Euonymus japonicus L. f. aureo-marginatus Rehd. were studied. The volatile oils from the leaves and stems of Euonymus japonicus L. f. aureo-marginatus Rehd. were extracted with CO2 as the supercritical solvent. The resulting sample was separated and detected by gas chromatography mass spectrometry (GC-MS). Based on a comparison with the NIST08 mass spectral library, 31 components were identified in the volatile oil from the leaves. The main constituents included: cis-9-hexadecenoic acid (17.11%), benzaldehyde (10.66%), (Z)-3-hexen-1-ol (8.93%), n-hexadecanoic acid (7.92%), benzyl alcohol (6.99%), tetradecanoic acid (6.13%), and n-pentadecanoic acid (6.06%). Thirty-three components were identified from the volatile oil of the stems. The main constituents were 1-methoxy-2-propanol (12.20%), n-hexadecanoic acid (5.52%), 6,6-dimethyl-bicyclo [3.1.1]hept-2-ene-2-methanol (5.17%), and 4-di-tert-butylphenol (5.08%). The tetrazolium salt (MTT) assay was used to measure the anti-tumor activity, and showed that the leaf volatile oil exhibited the strongest anti-tumor activity against A549 lung cancer cells and SGC-7901 gastric carcinoma cells, with IC50 values of 2.77 μg/mL and 3.78 μg/mL, respectively. This comparative study indicates that n-pentadecanoic acid is the major active ingredient of the leaf volatile oil in the 2 types of cancer cells.