Alpinia zerumbet, a species of the Zingiberaceae family, is a common plant in tropical and subtropical areas used in traditional medicine to treat various diseases and also included as food in the traditional Okinawan diet (Japan). The leaves and rhizomes of this plant are used as spice and flavoring in foods such as rice, meats, and pasta. Studies of the chemical and nutritional characteristics of fresh leaves and of leaves submitted to thermal treatments such as boiling and steaming are lacking. In the current study, the leaves of A. zerumbet were subjected to boiling or steaming for 10, 20, and 30 min as part of the thermal treatments. The study also provides noteworthy results regarding the proximate composition, physical–chemical data, minerals, phenolic compounds, antioxidant activity, volatile compounds, and LC-MS chromatographic profiles of the extracts produced with fresh leaves and with thermal treatments. The carbohydrate content of A. zerumbet leaves improved during the thermal treatments, showing an increase after steaming (18.86 to 19.79%) and boiling for 30 min (25.85%). After boiling treatment for 20 min, a significant amount of protein was found (6.79%) and all heat treatments resulted in low content of lipid (<1.0%). The boiling treatment for 10 min (BT10) resulted in the highest concentrations of total phenolic components (TPC), 339.5 mg/g, and flavonoids (TF), 54.6 mg/g, among the three thermal treatments (BT10, BT20 and BT30). The results of the steaming treatments (ST 10, 20, and 30 min) differed, with ST20 leading to higher TPC (150.4 mg/g) and TF (65.0 mg/g). The quantity of total phenolics and flavonoids, as well as the antioxidant activity, were significantly affected by the cooking method and the length of time of sample exposure to heat. The samples boiled for 30 and 10 min had higher concentrations of antioxidant activity as measured by the phosphomolybdenum and DPPH methods (151.5 mg/g of extract and 101.5 μg/mL, respectively). Thirty-eight volatile organic compounds (VOCs) were identified by chromatographic analysis of fresh and thermally treated leaves of A. zerumbet. Terpenoids were the predominant class of volatile compounds in the fresh leaves and in all thermal treatments. p-Cymene, 1,8-cineole, 4-terpineol, linalool, α-copaene and β-bisabolene have the greatest impact on overall aroma perception, with odor activity values (OAV) greater than five. Among the phenolic compounds identified by LC-HRMS in the extracts of fresh and thermally treated leaves were proanthocyanidins, (+) catechin, (−) epicatechin, quercetin-3-O-glucoronide, isorhamnetin-3-O-glucoronide, kaempferol-3-O-rutinoside, pinocembrin, alpinetin, pinostrobin, and other compounds. The present results support the traditional use of this plant as a potential food with properties that certainly contribute to health improvement.