Volatile organic compounds (VOCs) are byproducts from metabolic pathways that can be detected in exhaled breath and have been reported as biomarkers for different diseases. The gold standard for analysis is gas chromatography–mass spectrometry (GC–MS), which can be coupled with various sampling methods. The current study aims to develop and compare different methods for sampling and preconcentrating VOCs using solid-phase microextraction (SPME). An in-house sampling method, direct-breath SPME (DB–SPME), was developed to directly extract VOCs from breath using a SPME fiber. The method was optimized by exploring different SPME types, the overall exhalation volume, and breath fractionation. DB–SPME was quantitatively compared to two alternative methods involving the collection of breath in a Tedlar bag. In one method, VOCs were directly extracted from the Tedlar bag (Tedlar–SPME) and in the other, the VOCs were cryothermally transferred from the Tedlar bag to a headspace vial (cryotransfer). The methods were verified and quantitatively compared using breath samples (n = 15 for each method respectively) analyzed by GC–MS quadrupole time-of-flight (QTOF) for compounds including but not limited to acetone, isoprene, toluene, limonene, and pinene. The cryotransfer method was the most sensitive, demonstrating the strongest signal for the majority of the VOCs detected in the exhaled breath samples. However, VOCs with low molecular weights, including acetone and isoprene, were detected with the highest sensitivity using the Tedlar–SPME. On the other hand, the DB–SPME was less sensitive, although it was rapid and had the lowest background GC–MS signal. Overall, the three breath-sampling methods can detect a wide variety of VOCs in breath. The cryotransfer method may be optimal when collecting a large number of samples using Tedlar bags, as it allows the long-term storage of VOCs at low temperatures (−80 °C), while Tedlar–SPME may be more effective when targeting relatively small VOCs. The DB-SPME method may be the most efficient when more immediate analyses and results are required.