Volatile organic compounds (VOCs) in exhaled breath provide insights into various metabolic processes and can be used to monitor physiological response to exercise and medication. We integrated and validated in situ a sampling and analysis protocol using proton transfer reaction time-of-flight mass spectrometry (PTR-ToF-MS) for exhaled breath research. The approach was demonstrated on a participant cohort comprising users of the cholesterol-lowering drug statins and non-statin users during a field campaign of three days of prolonged and repeated exercise, with no restrictions on food or drink consumption. The effect of prolonged exercise was reflected in the exhaled breath of participants, and relevant VOCs were identified. Most of the VOCs, such as acetone, showed an increase in concentration after the first day of walking and subsequent decrease towards baseline levels prior to walking on the second day. A cluster of short-chain fatty acids including acetic acid, butanoic acid, and propionic acid were identified in exhaled breath as potential indicators of gut microbiota activity relating to exercise and drug use. We have provided novel information regarding the use of breathomics for non-invasive monitoring of changes in human metabolism and especially for the gut microbiome activity in relation to exercise and the use of medication, such as statins.