Cladostephus spongiosus was harvested once a month during its growing season (from May to August) from the Adriatic Sea. Algal volatile organic compounds (VOCs) were obtained by headspace solid-phase microextraction (HS-SPME) and hydrodistillation (HD) and analysed by gas chromatography and mass spectrometry (GC-MS). The effects of air drying and growing season on VOCs were determined. Two different extraction methods (ultrasound-assisted extraction (UAE) and microwave-assisted extraction (MAE)) were used to obtain ethanolic extracts of C. spongiosus. In addition, the seasonal antioxidant potential of the extracts was determined, and non-volatile compounds were identified from the most potent antioxidant extract. Aliphatic compounds (e.g., pentadecane) were predominantly found by HS-SPME/GC-MS. Hydrocarbons were more than twice as abundant in the dry samples (except in May). Aliphatic alcohols (e.g., hexan-1-ol, octan-1-ol, and oct-1-en-3-ol) were present in high percentages and were more abundant in the fresh samples. Hexanal, heptanal, nonanal, and tridecanal were also found. Aliphatic ketones (octan-3-one, 6-methylhept-5-en-2-one, and (E,Z)-octa-3,5-dien-2-one) were more abundant in the fresh samples. Benzene derivatives (e.g., benzyl alcohol and benzaldehyde) were dominant in the fresh samples from May and August. (E)-Verbenol and p-cymen-8-ol were the most abundant in dry samples in May. HD revealed aliphatic compounds (e.g., heptadecane, pentadecanal, (E)-heptadec-8-ene, (Z)-heptadec-3-ene), sesquiterpenes (germacrene D, epi-bicyclosesquiphellandrene, gleenol), diterpenes (phytol, pachydictyol A, (E)-geranyl geraniol, cembra-4,7,11,15-tetraen-3-ol), and others. Among them, terpenes were the most abundant (except for July). Seasonal variations in the antioxidant activity of the ethanolic extracts were evaluated via different assays. MAE extracts showed higher peroxyl radical inhibition activity from 55.1 to 74.2 µM TE (Trolox equivalents). The highest reducing activity (293.8 µM TE) was observed for the May sample. Therefore, the May MAE extract was analysed via high-performance liquid chromatography with high-resolution mass spectrometry and electrospray ionisation (UHPLC-ESI-HRMS). In total, 17 fatty acid derivatives, 9 pigments and derivatives, and 2 steroid derivatives were found. The highest content of pheophorbide a and fucoxanthin, as well as the presence of other pigment derivatives, could be related to the observed antioxidant activity.