The nutraceutical properties of extra-virgin olive oil (EVOO) can be further improved by the addition of olive leaves during olive pressing. However, while Citrus leaves are rich sources of bioactive substances, no data are available in the literature about the effect of Citrus leaf addition on the nutraceutical and sensorial profiles of olive oil. This study aimed at comparing the chemical and sensorial qualities of olive oils obtained from ripe olives pressed together with either Olea or Citrus spp. (lemon or orange) cryomacerated leaves. General composition parameters as well as major antioxidants and antioxidant activity were measured. A panel test evaluation, as well as headspace volatile characterization (headspace solid phase microextraction, HS-SPME), were also performed. All data were compared with an EVOO extracted from the same olive batch used as control. It was possible to obtain Leaf Olive Oils (LOOs) characterized by a higher (p < 0.05) content of antioxidants, compared to the control sample, and the highest oleuropein concentration was detected in the olive oil extracted in presence of olive leaf (+50% in comparison with the control). All the LOOs showed a higher smell complexity and the scent of ripe fruit was generally mitigated. Lemon and olive LOOs showed the best smell profile.