This review takes a snapshot of the main multivariate statistical techniques and methods used to process data on the concentrations of wine volatile molecules extracted by means of solid phase micro-extraction and analyzed using GC-MS. Hypothesis test, exploratory analysis, regression models, and unsupervised and supervised pattern recognition methods are illustrated and discussed. Several applications in the wine volatolomic sector are described to highlight different interactions among the various matrix components and volatiles. In addition, the use of Artificial Intelligence-based methods is discussed as an innovative class of methods for validating wine varietal authenticity and geographical traceability.