Rhododendron, with its high ornamental value and ecological benefits, is severely impacted by the azalea lace bug (Stephanitis pyrioides), one of its primary pests. This study utilized three Rhododendron cultivars, ‘Zihe’, ‘Yanzhimi’, and ‘Taile’, to conduct a non-targeted metabolomic analysis of leaf samples before and after azalea lace bug stress using headspace solid-phase microextraction combined with gas chromatography–mass spectrometry (HS-SPME/GCMS) and liquid chromatography–mass spectrometry (LCMS). A total of 81 volatile metabolites across 11 categories and 448 nonvolatile metabolites across 55 categories were detected. Significant differences in metabolic profiles were observed among the different cultivars after pest stress. A total of 47 volatile compounds and 49 nonvolatile metabolites were upregulated in the most susceptible cultivar ‘Zihe’, including terpenes, alcohols, nucleotides, amino acids, and carbohydrates, which are involved in energy production and secondary metabolism. Conversely, ‘Yanzhimi’ showed a downtrend in both the differential volatiles and metabolites related to purine metabolism and zeatin biosynthesis under pest stress. The resistant cultivar ‘Taile’ exhibited moderate changes, with 17 volatile compounds and 17 nonvolatile compounds being upregulated and enriched in the biosynthesis of amino acids, pentose, glucuronate interconversions, carbon metabolism, etc. The phenylalanine metabolic pathway played an important role in the pest resistance of different susceptible cultivars, and relevant metabolites such as phenylethyl alcohol, methyl salicylate, and apigenin may be involved in the plant’s resistance response. The results of this study provide a new perspective on the metabolomics of Rhododendron–insect interactions and offer references for the development of pest control strategies.