The aim of the current study was to provide a useful platform to identify characteristic molecular markers related to the authenticity of Italian fortified wines. For this purpose, the volatilomic fingerprint of the most popular Italian fortified wines was established using headspace solid-phase microextraction combined with gas chromatography–mass spectrometry (HS-SPME/GC-MS). Several volatile organic compounds (VOCs), belonging with distinct chemical groups, were identified, ten of which are common to all the analyzed fortified Italian wines. Terpenoids were the most abundant chemical group in Campari bitter wines due to limonene’s high contribution to the total volatilomic fingerprint, whereas for Marsala wines, alcohols and esters were the most predominant chemical groups. The fortified Italian wines VOCs network demonstrated that the furanic compounds 2-furfural, ethyl furoate, and 5-methyl-2-furfural, constitute potential molecular markers of Marsala wines, while the terpenoids nerol, α-terpeniol, limonene, and menthone isomers, are characteristic of Vermouth wines. In addition, butanediol was detected only in Barolo wines, and β-phellandrene and β-myrcene only in Campari wines. The obtained data reveal an adequate tool to establish the authenticity and genuineness of Italian fortified wines, and at the same time constitute a valuable contribution to identify potential cases of fraud or adulteration to which they are subject, due to the high commercial value associated with these wines. In addition, they contribute to the deepening of scientific knowledge that supports its valorization and guarantee of quality and safety for consumers.