Extra virgin olive oil (EVOO) is the best vegetable oil worldwide but, at the same time, is one of the product victims of fraud in the agri-food sector, and the differences about quality within the extra-virgin olive oil category are often missed. Several scientific techniques were applied in order to guarantee the authenticity and quality of this EVOO. In the present study, the volatile compounds (VOCs) by gas chromatography–mass spectrometry with solid-phase micro-extraction detection (GC–MS SPME), organoleptic analysis by the official Slow Food panel and the detection by a Small Sensor System (S3) were applied. Ten EVOOs from Umbria, a central Italian region, were selected from the 2021 Slow Food Italian extra virgin olive oil official guide, which includes hundreds of high-quality olive oils. The results demonstrated the possibility to discriminate the ten EVOOs, even if they belong to the same Italian region, by all three techniques. The result of GC–MS SPME detection was comparable at the discrimination level to the organoleptic test with few exceptions, while the S3 was able to better separate some EVOOs, which were not discriminated perfectly by the other two methods. The correlation analysis performed among and between the three methodologies allowed us to identify 388 strong associations with a p value less than 0.05. This study has highlighted how much the mix of VOCs was different even among few and localized EVOOs. The correlation with the sensor detection, which is faster and chipper compared to the other two techniques, elucidated the similarities and discrepancies between the applied methods.