Air quality and other environmental factors are gaining importance in public health policies. Some volatile organic compounds (VOCs) have been associated with asthma and symptoms of respiratory disease such as wheezing. The aim of this study was to measure the concentration of Total VOCs and assess their possible association with the occurrence of wheezing episodes in children under 36 months of age, in a region south of Lisbon, Portugal. A cross-sectional study was performed from October 2015 to March 2016. The sample of children under 36 months of age was selected by convenience, by inviting parents to take part in the study. A survey was applied to collect information on bedroom features, as well as to verify the occurrence of wheezing episodes. The indoor air quality parameters of bedrooms were measured using three 3M Quest® EVM-7 environmental monitors. In total, 34.4% of infants had had wheezing episodes since birth, with 86.7% of these presenting at least one episode in the previous 12 months. Total VOC levels were above the reference values in 48% of the analyzed bedrooms. No significant association of VOC exposure in a domestic setting with episodes of wheezing was found. However, children living in households with smokers were 4 times more likely to develop wheezing episodes. Thus, this study provides relevant information that warrants further studies to assess infant exposure to indoor air pollution and parental smoking in a residential context.