Four yeast isolates from the species—Apiotrichum brassicae, Candida tropicalis, Metschnikowia pulcherrima, and Pichia kudriavzevii—previously selected by their oleaginous character and growth flexibility in different carbon sources, were tested for their capacity to convert volatile fatty acids into lipids, in the form of single cell oils. Growth, lipid yields, volatile fatty acids consumption, and long-chain fatty acid profiles were evaluated in media supplemented with seven different volatile fatty acids (acetic, butyric, propionic, isobutyric, valeric, isovaleric, and caproic), and also in a dark fermentation effluent filtrate. Yeasts A. brassicae and P. kudriavzevii attained lipid productivities of more than 40% (w/w), mainly composed of oleic (>40%), palmitic (20%), and stearic (20%) acids, both in synthetic media and in the waste-derived effluent filtrate. These isolates may be potential candidates for single cell oil production in larger scale applications by using alternative carbon sources, combining economic and environmental benefits.