Hexanal and heptanal are endogenous aldehydes coming from membrane lipid oxidation, found in lung cancer patients’ blood, and suggested as lung tumor biomarkers. Here the urinary matrix was investigated instead of blood and the difficulties related to the determination of endogenous substances in biological matrices were faced by developing an external calibration HS-SPME/GC/MS method. The methodology was validated according to international validation procedures and it was verified analyzing unknown biological samples from cancer patients and healthy subjects. Percentage accuracy and precision, ranging from −11.25 to 10.85% and from 0.45 to 4.46%, respectively, were obtained, together with limits of detection (LODs) and lower limits of quantification (LLOQs) of 0.11 and 0.23 pg μL −1 for hexanal and of 0.10 and 0.21 pg μL −1 for heptanal. Analytes percentage recoveries (66.3%, hexanal and 70.5%, heptanal) and stability were evaluated. No analytes degradation was found at room temperature, while the remarkable analytes loss found after 1 month storage suggests analyzing biological samples within a week from storage. Results coming from the analysis of unknown biological samples showed no evident differences of heptanal urinary excretion between lung cancer patients and healthy subjects (0.22–0.95 and 0.21–0.69 pg μL −1, respectively), while hexanal urinary concentrations in cancer patients (0.24–4.36 pg μL −1) were slightly higher than those found in control group ones (0.23–1.26 pg μL −1). The obtained results highly suggest to do further investigations in order to collect statistically significant biological data to discriminate between the pathological state of lung cancer patients and physiological conditions of healthy subjects, using the simple, rapid and cheap method here reported for the quantification of urinary aldehydes.