Algae are the group that has managed to generate the largest number of compounds and secondary metabolites with different properties, many of them only present in the aquatic kingdom. Among them, brown algae are one of the main producers within marine ecosystems. Furthermore, one of the main groups of secondary metabolites studied are sesquiterpenes due to the great variety of properties observed, largely due to the great structural variability of these compounds. Many studies have been carried out to isolate and characterize compounds with a sesquiterpene structure from different species of brown algae. This article reviews the natural occurrence of sesquiterpene and derivatives in brown algae. A total of 51 sesquiterpenes isolated from brown algae, having monocyclic, bicyclic, or tricyclic skeletons, as well as 23 sesquiterpenoids with various chemical structures, are depicted. Moreover, there are at least eleven publications focused on the study of the profiles on volatile organic compounds (VOCs) within brown algae, derived using several analytic and extraction techniques, and in the finding of a large variety of structures of sesquiterpenes.