Madeira wine (MW) encompasses an unusual oxidative ageing process that makes it distinctive. Several metabolites have been related to its quality and safety, such as 5-hydroxymethylfurfural (HMF), furfural, sotolon, and ethyl carbamate (EC). These compounds were quantified over a three-year period to assess their formation rate according to the ageing procedure used: canteiro vs. estufagem. Estufagem, which includes thermal processing of young MWs, promoted greater HMF, furfural, and sotolon accumulation, especially in sweet wines, in which sotolon contributed significantly to aroma (odour active values up to 17.5). Tinta Negra revealed a higher predisposition to form EC while Malvasia and Sercial were less prone to its formation. The formation of furfural, HMF, and EC strongly correlated with the ageing time. Sotolon had a strong correlation with the ageing time in canteiro (r = 0.79) and a moderate correlation in estufagem (r = 0.65). In both ageing procedures, sotolon, furfural, and HMF formation trends strongly correlated with each other (r = 0.74–0.90). In turn, EC also correlated with all furans (r = 0.51–0.85). Yellow tones (b*) correlated with these metabolites only when wines undergo estufagem. This study provides valuable insights to improve MW quality and safety management procedures.