Lung cancer is the main cause of cancer incidence and mortality worldwide and the identification of clinically useful biomarkers for lung cancer detection at both early and metastatic stage is a pressing medical need. Although many improvements have been made in the treatment and in the early screening of this cancer, most diagnosis are made at a late stage, when a lot of genetic and epigenetic changes have occurred. A promising source of biomarkers reflective of the pathogenesis of lung cancer is exhaled breath condensate (EBC), a biological fluid and a natural matrix of the respiratory tract. Molecules such as DNAs, RNAs, proteins, metabolites and volatile compounds are present in EBC, and their presence/absence or their variation in concentrations can be used as biomarkers. The aims of this review are to briefly describe exhaled breath composition, firstly, and then to document some of the EBC candidate biomarkers for lung cancer by dividing them according to their origin (genome, transcriptome, epigenome, metabolome, proteome and microbiota) in order to demonstrate the potential use of EBC as a helpful tool in cancer diagnostics, molecular profiling, therapy monitoring and screening of high risk individuals.