Lung cancer, chronic obstructive pulmonary disease (COPD) and asthma are inflammatory diseases that have risen worldwide, posing a major public health issue, encompassing not only physical and psychological morbidity and mortality, but also incurring significant societal costs. The leading cause of death worldwide by cancer is that of the lung, which, in large part, is a result of the disease often not being detected until a late stage. Although COPD and asthma are conditions with considerably lower mortality, they are extremely distressful to people and involve high healthcare overheads. Moreover, for these diseases, diagnostic methods are not only costly but are also invasive, thereby adding to people’s stress. It has been appreciated for many decades that the analysis of trace volatile organic compounds (VOCs) in exhaled breath could potentially provide cheaper, rapid, and non-invasive screening procedures to diagnose and monitor the above diseases of the lung. However, after decades of research associated with breath biomarker discovery, no breath VOC tests are clinically available. Reasons for this include the little consensus as to which breath volatiles (or pattern of volatiles) can be used to discriminate people with lung diseases, and our limited understanding of the biological origin of the identified VOCs. Lung disease diagnosis using breath VOCs is challenging. Nevertheless, the numerous studies of breath volatiles and lung disease provide guidance as to what volatiles need further investigation for use in differential diagnosis, highlight the urgent need for non-invasive clinical breath tests, illustrate the way forward for future studies, and provide significant guidance to achieve the goal of developing non-invasive diagnostic tests for lung disease. This review provides an overview of these issues from evaluating key studies that have been undertaken in the years 2010–2019, in order to present objective and comprehensive updated information that presents the progress that has been made in this field. The potential of this approach is highlighted, while strengths, weaknesses, opportunities, and threats are discussed. This review will be of interest to chemists, biologists, medical doctors and researchers involved in the development of analytical instruments for breath diagnosis.