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Prostate cancer (PCa) continues to be the second most common malignant tumour and the main cause of oncological death in men. Investigating endogenous volatile organic metabolites (VOMs) produced by various metabolic pathways is emerging as a novel, effective, and non-invasive source of information to establish the volatilomic biosignature of PCa. In this study, headspace solid-phase microextraction combined with gas chromatography–mass spectrometry (HS-SPME/GC-MS) was used to establish the urine volatilomic profile of PCa and identify VOMs that can discriminate between the two investigated groups. This non-invasive approach was applied to oncological patients (PCa group, n = 26) and cancer-free individuals (control group, n = 30), retrieving a total of 147 VOMs from various chemical families. This included terpenes, norisoprenoid, sesquiterpenes, phenolic, sulphur and furanic compounds, ketones, alcohols, esters, aldehydes, carboxylic acid, benzene and naphthalene derivatives, hydrocarbons, and heterocyclic hydrocarbons. The data matrix was subjected to multivariate analysis, namely partial least-squares discriminant analysis (PLS-DA). Accordingly, this analysis showed that the group under study presented different volatomic profiles and suggested potential PCa biomarkers. Nevertheless, a larger cohort of samples is required to boost the predictability and accuracy of the statistical models developed.