Polyunsaturated aldehydes (PUAs) are bioactive molecules suggested as chemical defenses and infochemicals. In marine coastal habitats, diatoms reach high PUA production levels during bloom episodes. Two fractions of PUA can usually be analyzed: pPUA obtained via artificial breakage of collected phytoplankton cells and dissolved PUA already released to the environment (dPUA). In nature, resource supply arises as a main environmental controlling factor of PUA production. In this work, we monitored the vertical distribution and daily variation of pPUA associated with large-size phytoplankton and dPUA, at three sites located in the Alborán Sea from mesotrophic to oligotrophic waters. The results corroborate the presence of large-size PUA producers in oligotrophic and mesotrophic waters with a significant (58%–85%) diatom biomass. In addition to diatoms, significant correlations between pPUA production and dinoflagellate and silicoflagellate abundance were observed. 2E,4E/Z-Heptadienal was the most abundant aldehyde at the three sites with higher values (17.1 fg·cell−1) at the most oligotrophic site. 2E,4E/Z-Decadienal was the least abundant aldehyde, decreasing toward the oligotrophic site. For the first time, we describe the daily fluctuation of pPUA attributable to cellular physiological state and not exclusively to taxonomical composition. Our results demonstrate the persistence of threshold levels of dPUA deep in the water column, as well as the different chromatographic profiles of dPUA compared with pPUA. We propose different isomerization processes that alter the chemical structure of the released PUAs with unknown effects on their stability, biological function, and potential bioactivity.