While there has been considerable research related to Koroneiki cultivar in different areas in Greece, no systematic work has been carried out on olive oil analysis from one of the most important olive-growing regions in Greece, located southwest of Peloponnese, Messinia. This work is the first systematic attempt to study the profile of Messinian olive oils and evaluate to what extent they comply with the recent EU regulations in order to be classified as “Kalamata Protected Designation of Origin (PDO)”-certified products. Quality indices were measured and detailed analyses of sterols, triterpenic dialcohols, fatty acid composition and wax content were conducted in a total of 71 samples. Messinian olive oils revealed a high-quality profile but, at the same time, results demonstrated major fluctuations from the established EU regulatory limits on their chemical parameters. Results showed low concentrations of total sterols, with 66.7% of the examined samples below the regulated set limits for Kalamata PDO status; high concentrations of campesterol, with a total of 21.7%, exceeding the legal maximum of 4.0%; and a slight tendency of high total erythrodiol content. Fatty acid composition and wax content were within the normal range expected for the extra virgin olive oil (EVOO) category. However, the narrower established PDO limits in specific fatty acids showed some fluctuations in a few cases.