Withanolides represent an important category of natural products with a steroidal lactone core. Many of them contain an α,β-unsaturated carbonyl moiety with a high reactivity toward sulfhydryl groups, including protein cysteine thiols. Different withanolides endowed with marked antitumor and anti-inflammatory have been shown to form stable covalent complexes with exposed cysteines present in the active site of oncogenic kinases (BTK, IKKβ, Zap70), metabolism enzymes (Prdx-1/6, Pin1, PHGDH), transcription factors (Nrf2, NFκB, C/EBPβ) and other structural and signaling molecules (GFAP, β-tubulin, p97, Hsp90, vimentin, Mpro, IPO5, NEMO, …). The present review analyzed the covalent complexes formed through Michael addition alkylation reactions between six major withanolides (withaferin A, physalin A, withangulatin A, 4β-hydroxywithanolide E, withanone and tubocapsanolide A) and key cysteine residues of about 20 proteins and the resulting biological effects. The covalent conjugation of the α,β-unsaturated carbonyl system of withanolides with reactive protein thiols can occur with a large set of soluble and membrane proteins. It points to a general mechanism, well described with the leading natural product withaferin A, but likely valid for most withanolides harboring a reactive (electrophilic) enone moiety susceptible to react covalently with cysteinyl residues of proteins. The multiplicity of reactive proteins should be taken into account when studying the mechanism of action of new withanolides. Proteomic and network analyses shall be implemented to capture and compare the cysteine covalent-binding map for the major withanolides, so as to identify the protein targets at the origin of their activity and/or unwanted effects. Screening of the cysteinome will help understanding the mechanism of action and designing cysteine-reactive electrophilic drug candidates.