A selective cavitand-based solid-phase microextraction coating was synthesized for the determination of nitroaromatic explosives and explosive taggants at trace levels in air and soil. A quinoxaline cavitand functionalized with a carboxylic group at the upper rim was used to enhance selectivity toward analytes containing nitro groups. The fibers were characterized in terms of film thickness, morphology, thermal stability, and pH resistance. An average coating thickness of 50 (±4) μm, a thermal stability until 400 °C, and an excellent fiber-to-fiber and batch to batch repeatability with RSD lower than 4% were obtained. The capabilities of the developed coating for the selective sampling of nitroaromatic explosives were proved achieving LOD values in the low ppbv and ng kg−1 range, respectively, for air and soil samples.