Fourteen compounds, including tryptophan and its metabolites: kynurenine pathway products (kynurenine, kynurenic acid, 3-hydroxykynurenine), auxin pathway products (indoleacetic acid, indolepropionic acid, indolebutyric acid, indolepyruvic acid), serotonin pathway products (5-hydroxytryptophan, serotonin, melatonin), tryptamine, as well as two synthetic auxin analogs (naphtyl-1-acetamide and naphthalene-1-acetic acid) were chromatographed on RP8 plates using binary mobile phases containing 8 concentrations of methanol as a modifier. The resulting retention data was fitted to linear Soczewiński–Wachtmeister models, obtaining experimental lipophilicity indices, which were then compared with computational lipophilicities calculated with 6 algorithms (ALOGPs, AClogP, ALOGP, MLOGP, XLOGP2 and XLOGP3) using regression and multivariate (principal component analysis) approach. It was confirmed that hydroxylation lowers the lipophilicity, whereas adding one homologous aliphatic CH2, exchange of amino group to keto group (or its loss) increases the lipophilicity. Kynurenic acid has lower lipophilicity than kynurenine under investigated conditions due to its ionization, which is opposite to computational results based on non-ionized molecule. The obtained results can be useful in explaining the biochemical and pharmacological phenomena related to these compounds.