Tangerines (Citrus reticulata) are popular fruits worldwide, being rich in many bioactive metabolites. The setubalense variety cultivated on Madeira Island has an intense aroma easily distinguishable from other tangerines, being traditionally used to enrich several foods and beverages. Nonetheless, setubalense volatile composition has never been characterized, and we aimed to unveil the bioactive potential of peels and juices of setubalense tangerines and compare them with the murcott variety grown in Portugal mainland. Using headspace solid-phase microextraction coupled to gas chromatography mass spectrometry (HS-SPME/GC-MS), we identified a total of 128 volatile organic metabolites (VOMs) in the juice and peels, with d-limonene, γ-terpinene, β-myrcene, α- and β-pinene, o-cymene, and terpinolene, the most dominant in both cultivars. In contrast, setubalense juices are richer in terpenes, many of them associated with health protection. Discriminant analysis revealed a pool of VOMs, including β-caryophyllene and E-ocimene, with bioactive properties able to differentiate among tangerines according to variety and sample type (peel vs. juice). This is the first report on the volatile composition of setubalense tangerines grown on Madeira Island revealing that its pungent aroma is constituted by secondary metabolites with specific aroma notes and health properties. This is strong evidence of the higher nutraceutical value of such fruit for the human diet.