Research has shown elevated concentrations of total volatile organic compounds (TVOCs) in indoor sports facilities, underscoring the significance of the identification and quantification of individual VOCs in these environments. Objectives: This study evaluated (individual and total) VOC levels in three health clubs (HC1–HC3) and estimated the respective excess carcinogenic (ECR) and non-cancer (THQ) risks. Materials and methods: TVOCs were monitored for 8 h in the characterized HCs (winter 2022; Oporto Metropolitan Area, Portugal), while individual VOC quantifications were done by active sampling (1 h; Tenax TA, 60/80 mesh) followed by thermal desorption coupled with gas chromatography and mass-selective detection. ECRs and THQs were calculated using the USEPA methodology. Results and discussion: Across all HCs, TVOCs means were 0.89–2.15 mg/m3, exceeding 1.5–3.6 times the Portuguese protective threshold (0.6 mg/m3). Levels of benzene (1.52–1.91 µg/m3), ethylbenzene (1.55–3.74 µg/m3), naphthalene (1.43–1.46 µg/m3), tetrachloroethylene (0.73–1.30 µg/m3) and trichloroethylene (0.71–0.73 µg/m3) complied with the existent legislation except for benzene. The USEPA ECR threshold of 10−6 was exceeded for benzene (1.1–1.2 times) and naphthalene (1.5–1.6 times) in all HCs, while HI below unity suggested no potential for adverse non-carcinogenic health effects. Conclusions: Whereas VOC concentration profiles were different in all HCs, the exceeded TVOCs levels and the respective cancer risk due to inhalation exposures indicated possible adverse outcomes for the respective users.