This article presents a novel method for validating compass devices. To this end, the post-processing method was used, i.e., the previously recorded vessel’s heading from three compass devices was applied. A spectral analysis of the recorded heading in the frequency domain was conducted by applying the fast Fourier transform method. Based on a synthetic summary of the results of spectral analysis in the heading error frequency domain, the factors causing errors of low-frequency compass device indications, manifested by the vessel’s yawing due to the vessel steering errors on the pre-determined course and the external factors causing total drift of the vessel, were eliminated. To this end, the convolution functions in the form of the sum of input signals with an impulse response, i.e., the filter with a finite impulse response (FIR) and with an infinite impulse response (IIR), were used to compare the effectiveness of the methods estimating the vessel’s heading. The final stage of the research process in the methodology applied was the use of state- and time-discrete Markov processes whose task is to determine the matrices of the intensity of transitions between the states of individual compass systems.