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Recently, volatile organic compound (VOC) determination in exhaled breath has seen growing interest due to its promising potential in early diagnosis of several pathological conditions, including chronic kidney disease (CKD). Therefore, this study aimed to identify the breath VOC pattern providing an accurate, reproducible and fast CKD diagnosis at early stages of disease. A cross-sectional observational study was carried out, enrolling a total of 30 subjects matched for age and gender. More specifically, the breath samples were collected from (a) 10 patients with end-stage kidney disease (ESKD) before undergoing hemodialysis treatment (DIAL); (b) 10 patients with mild-moderate CKD (G) including 3 patients in stage G2 with mild albuminuria, and 7 patients in stage G3 and (c) 10 healthy controls (CTRL). For each volunteer, an end-tidal exhaled breath sample and an ambient air sample (AA) were collected at the same time on two sorbent tubes by an automated sampling system and analyzed by Thermal Desorption–Gas Chromatography–Mass Spectrometry. A total of 110 VOCs were detected in breath samples but only 42 showed significatively different levels with respect to AA. Nonparametric tests, such as Wilcoxon/Kruskal–Wallis tests, allowed us to identify the most weighting variables able to discriminate between AA, DIAL, G and CTRL breath samples. A promising multivariate data mining approach incorporating only selected variables (showing p-values lower than 0.05), such as nonanal, pentane, acetophenone, pentanone, undecane, butanedione, ethyl hexanol and benzene, was developed and cross-validated, providing a prediction accuracy equal to 87% and 100% in identifying patients with both mild–moderate CKD (G) and ESKD (DIAL), respectively.