Despite the spectacular advances in molecular medicine, including genomics, proteomics, transcriptomics, lipidomics, and personalized medicine, supported by the discovery of the human genome, prostate cancer (PCa) remains the most frequent malignant tumor and a leading cause of oncological death in men. New methods for prognostic, diagnostic, and therapy evaluation are mainly based on the combination of imaging techniques with other methodologies, such as gene or protein profiling, aimed at improving PCa management and surveillance. However, the lack of highly specific and sensitive biomarkers for its early detection is a major hurdle to this goal. Apart from classical biomarkers, the study of endogenous volatile organic metabolites (VOMs) biosynthesized by different metabolic pathways and found in several biofluids is emerging as an innovative, efficient, accessible, and non-invasive approach to establish the volatilomic biosignature of PCa patients, unravelling potential biomarkers. This review provides a brief overview of the challenges of PCa screening methods and emergent biomarkers. We also focus on the potential of volatilomics for the establishment of PCa biomarkers from non-invasive matrices.