Knowledge of the chemical–physical reactions that determine the main degradation behaviour of artists’ alkyd paints represents one of the main problems within the museum exhibitions. The collection and interpretation of these data on degradation phenomena, especially after ozone exposure at different relative humidity values, can be useful for their conservation needs. Therefore, a systematic investigation of these materials may help achieve this goal. Firstly, surface-level identification of the main functional groups of ad hoc created and aged alkyd paints was performed using attenuated total reflection Fourier-transform infrared spectroscopy (ATR-FTIR). Subsequently, these paints were investigated by pyrolysis–gas chromatography and mass spectrometry (Py–GC/MS), allowing for precise bulk identification of the organic compounds before and after accelerated ageing. A first successful attempt to provide quantitative Py–GC/MS data on alkyd-based paints is here presented and discussed. Comparing the results, it was possible to obtain new insights into the degradation behaviour of alkyd paints when exposed to ozone, allowing us to devise specific preventive and conservation strategies for these artistic materials.