Finger lime is receiving growing attention as an ingredient of gastronomic preparations of haute cuisine for its delicious flavor and fragrance and for its appealing aspect. Volatile compounds play a crucial role in determining the organoleptic characteristics of the fruit and its pleasantness for consumers. The aim of the present study was to investigate the volatile profiles by headspace solid phase micro-extraction (HS-SPME) coupled to gas chromatography–mass spectrometry (GC–MS) in the peel and, for the first time, in the pulp of three Australian finger lime cultivars grown in Sicily (southern Italy): Pink Pearl, Sanguinea, and Faustrime, allowing to overall identify 84 volatile organic compounds (VOCs). The analytical data showed that the three cultivars were characterized by distinct volatile chemotypes: limonene/sabinene/bicyclogermacrene in the Pink Pearl, limonene/γ-terpinene/bicyclogermacrene in the Sanguinea, and limonene/β-phellandrene/γ-terpinene in the Faustrime. Moreover, some volatiles, found exclusively in one cultivar, could be considered potential markers of the individual cultivar. PCA allowed us to clearly discriminate the samples into three clusters: the first related to the Sanguinea peel, the second to the Faustrime peel, and a third group associated with the Pink Pearl peel along with the pulp of the three cultivars. Accordingly, the VOCs that mostly contributed to the differentiation of the three finger lime cultivars were also identified. Among them, D-limonene, sabinene γ-terpinene, α-pinene, α-phellandrene, β-myrcene, p-cymene, linalool, δ-elemene, ledene, bicyclogermacrene β-citronellol, α-bergamotene, α-caryophillene, and β-bisabolene, have been previously reported to exhibit important biological activities, suggesting that these cultivars, in addition to possessing unique volatile profiles, can show promise for several applications in pharmaceutical and food industry, namely for development of functional foods.