In the last decade, several preventive strategies were considered to mitigate the chemical hazard accumulation in food products. This work aimed to study the effect of different sugars on the development of the main chemical hazard in cookies. For this purpose, model biscuits prepared using sucrose, fructose, and glucose were baked at different temperatures (150, 170, and 190 °C) and for different times (from 5 to 45 min), and the levels of α-dicarbonyl compounds, such as 3-deoxyglucosone (3-DG), glyoxal (GO) and methylglyoxal (MGO), 5-hydroxymethylfurfural (HMF), and furanic aromatic compounds were monitored. The replacement of sucrose in the cookie recipes with monosaccharides had as a consequence the highest accumulation of 3-DG (200–600 times higher), MGO, HMF, and furanic volatile compounds, while the use of sucrose allowed for maintaining the 3-DG, MGO, and HMF levels at less than 10 mg/kg dry matter in cookies for the estimated optimal baking time. Moreover, cookies with sucrose were characterised in terms of volatile compounds, mainly in terms of lipid oxidation products, while cookies with fructose or glucose baked at the highest temperature were characterised almost exclusively by Maillard reaction products, confirming a faster development of this reaction during baking at the studied temperatures.