Madeira wine is a fortified Portuguese wine, which has a crucial impact on the Madeira Island economy. The particular properties of Madeira wine result from the unique and specific winemaking and ageing processes that promote the occurrence of chemical reactions among acids, sugars, alcohols, and polyphenols, which are important to the extraordinary quality of the wine. These chemical reactions contribute to the appearance of novel compounds and/or the transformation of others, consequently promoting changes in qualitative and quantitative volatile and non-volatile composition. The current review comprises an overview of Madeira wines related to volatile (e.g., terpenes, norisoprenoids, alcohols, esters, fatty acids) and non-volatile composition (e.g., polyphenols, organic acids, amino acids, biogenic amines, and metals). Moreover, types of aroma compounds, the contribution of volatile organic compounds (VOCs) to the overall Madeira wine aroma, the change of their content during the ageing process, as well as the establishment of the potential ageing markers will also be reviewed. The viability of several analytical methods (e.g., gas chromatography-mass spectrometry (GC-MS), two-dimensional gas chromatography and time-of-flight mass spectrometry (GC×GC-ToFMS)) combined with chemometrics tools (e.g., partial least squares regression (PLS-R), partial least squares discriminant analysis (PLS-DA) was investigated to establish potential ageing markers to guarantee the Madeira wine authenticity. Acetals, furanic compounds, and lactones are the chemical families most commonly related with the ageing process.