From Egyptian mummies to the Chanel N° 5 perfume, aldehydes have been used for a long time and continue to impact our senses in a wide range of perfumes, foods, and beverages. Aldehydes represent one of the categories of volatile organic compounds (VOCs), which are categorized as chemicals with boiling points up to 260 °C and can be found in indoor environments in the gaseous phase. Because of their potential or known hazardous properties for humans, the World Health Organization (WHO)-Europe provided some guidelines that may prevent several health risks. Indeed, some aldehydes, reported to be risky for humans, have been retired from the market, such as butylphenyl methylpropional (BMHCA). The purpose of this review is to summarize the most important aldehydes found indoors and outdoors and analyse in depth the toxicological aspects of these compounds, whose presence in perfumes is often underestimated. In addition, the ingredients’ synonyms that are reported in the literature for the same compound were unified in order to simplify their identification.