TGR5, a metabotropic receptor that is G-protein-coupled to the induction of adenylate cyclase, has been recognized as the molecular link connecting bile acids to the control of energy and glucose homeostasis. With the aim of disclosing novel selective modulators of this receptor and at the same time clarifying the molecular basis of TGR5 activation, we report herein the biological screening of a collection of natural occurring bile acids, bile acid derivatives, and some steroid hormones, which has resulted in the discovery of new potent and selective TGR5 ligands. Biological results of the tested collection of compounds were used to extend the structure–activity relationships of TGR5 agonists and to develop a binary classification model of TGR5 activity. This model in particular could unveil some hidden properties shared by the molecular shape of bile acids and steroid hormones that are relevant to TGR5 activation and may hence be used to address the design of novel selective and potent TGR5 agonists.