Background: Volatile organic compound (VOC) profiles as biomarkers for hepatocellular carcinoma (HCC) are understudied. We aimed to identify VOCs from the exhaled breath for HCC diagnosis and compare the performance of VOCs to alpha-fetoprotein (AFP). The performance of VOCs for predicting treatment response and the association between VOCs level and survival of HCC patients were also determined. Methods: VOCs from 124 HCC patients and 219 controls were identified using the XGBoost algorithm. ROC analysis was used to determine VOCs performance in differentiating HCC patients from controls and in discriminating treatment responders from non-responders. The association between VOCs and the survival of HCC patients was analyzed using Cox proportional hazard analysis. Results: The combination of 9 VOCs yielded 70.0% sensitivity, 88.6% specificity, and 75.0% accuracy for HCC diagnosis. When differentiating early HCC from cirrhotic patients, acetone dimer had a significantly higher AUC than AFP, i.e., 0.775 vs. 0.714, respectively, p = 0.001. Acetone dimer classified HCC patients into treatment responders and non-responders, with 95.7% sensitivity, 73.3% specificity, and 86.8% accuracy. Isopropyl alcohol was independently associated with the survival of HCC patients, with an adjusted hazard ratio of 7.23 (95%CI: 1.36–38.54), p = 0.020. Conclusions: Analysis of VOCs is a feasible noninvasive test for diagnosing and monitoring HCC treatment response.