Comparison of trace element distribution in bulk samples from the North-Western Caucasus mud volcanoes with PAAS (average Australian post-Archean shale) showed their depletion in many elements. The contents of most elements in sediments of the mud volcanoes are comparable with those of the Middle Maikopian clay. Compared to the Upper Maikopian clay, most of the studied samples have much higher concentrations of Mo, Sr, Y, Nb and Ba, whereas contents of many other elements, in contrast, are lower. The rare earth elements (REE) distribution in bulk sediment samples is similar to that of PAAS. On the La/Sc–Th/Co diagram, the compositions of most bulk samples of the North-Western Caucasus mud volcanoes fall in the field typical of disintegration products of felsic rocks. This is confirmed by their localization in the Cr/Th–Th/Sc and Sc–Th/Sc diagrams. The comparison of the distribution of data points of sediments of mud volcanoes of the North-Western Caucasus, the Junggar Basin, and the Andaman Islands on the La/Sc–Th/Co and Cr/Th–Th/Sc diagrams shows that the latter have a large contribution of geochemically immature components, possibly the disintegration products of mafic igneous rocks. The data points of sediments ejected from the North-Western Caucasus mud volcanoes on the La/Sc–Th/Co and Cr/Th–Th/Sc diagrams show the wider compositional range than those of other two regions (mixing “felsic” and “mafic” components in the proportions ~100 : 1 to 50 : 50). In general, the comparison of trace element distribution in sediments from mud volcanoes of the North-Western Caucasus, the Junggar Basin and the Andaman Islands suggests the geochemical heterogeneity of these sediments not only in different geodynamic regions, but also within mentioned mud volcanic provinces, thus indicating a heterogeneous composition of their sources.