Introduction: Population-based fecal tests for colorectal cancer (CRC) screening have shown to reduce mortality thanks to the early detection of the disease. However, currently available fecal tests are limited in their sensitivity and specificity. Our aim is to look for volatile organic compounds in fecal samples as biomarkers for CRC detection. Material and Methods: Eighty participants were included; 24 had adenocarcinoma, 24 had adenomatous polyps and 32 presented no neoplasms. Fecal samples were collected 48 h preceding the colonoscopy from all participants, except CRC patient samples that were collected after 3–4 weeks from the colonoscopy. Magnetic headspace adsorptive extraction (Mag-HSAE) followed by thermal desorption-gas chromatography-mass spectrometry (TD-GC–MS) was performed on stool samples to identify volatile organic compounds as biomarkers. Results: p-Cresol was significantly more abundant in the cancer samples (P < 0.001) with an area under the curve (AUC) of 0.85 (CI 95%; 0.737–0.953), having a sensitivity and specificity of 83% and 82%, respectively. In addition, 3(4H)-dibenzofuranone,4a,9b-dihydro-8,9b-dimethyl- (3(4H)-DBZ) was also more abundant in the cancer samples (P < 0.001) with an AUC of 0.77 (CI 95%; 0.635–0.905), sensitivity of 78% and specificity of 75%. When combined (p-cresol and 3(4H)-DBZ), the AUC was 0.86, sensitivity 87% and specificity 79%. p-Cresol also appeared to be promising as a biomarker for pre-malignant lesions with an AUC of 0.69 (CI 95%; 0.534–0.862), sensitivity 83% and specificity 63%, P = 0.045. Conclusions: Volatile organic compounds emitted from feces and determined by a sensitive analytical methodology (Mag-HSAE-TD-GC–MS), employing a magnetic graphene oxide as extractant phase, could be used as a potential screening technology for CRC and pre-malignant lesions. Miren Alustiza would like to thank ISABIAL for her pre-doctoral grant (UGP-16-138/2016/45). This work was supported by the Instituto de Salud Carlos III (PI17/01756, PI20/01527); by Vicerrectorado de Investigación y de Transferencia de Conocimiento (UAUSTI18-04, UAUSTI19-05, UAUSTI20-04), and Conselleria d’Innovació, Universitats, Ciència i Societat Digital (Generalitat Valenciana) (PROMETEO/2018/087; CIPROM/2021/062). The authors extend their appreciation to the Ministry of Science, Innovation and Universities for granting the Spanish Network of Excellence in Sample Preparation (RED2018-102522-T).