Breath acetone represents a promising non-invasive biomarker for monitoring fat oxidation during exercise. However, its utility is limited by confounding factors, as well as by the fact that significant changes in concentration occur only hours post-exercise, which makes real-time assessment difficult. We performed an untargeted screening for volatile organic compounds (VOCs) that could serve as markers of fat oxidation beyond acetone, and investigated whether breath measurements taken during exercise could predict post-exercise changes in fat oxidation. Nineteen participants completed two 25-min cycling sessions separated by a brief 5-min rest period. VOC emissions were analysed using proton-transfer-reaction time-of-flight mass spectrometry (PTR-TOF-MS) during exercise and after a 90-min recovery period. Blood $β$-hydroxybutyrate (BOHB) concentrations served as the reference marker for fat oxidation. Among 773 relevant analytical features detected in the PTR-TOF-MS measurements, only four signals exhibited strong correlations with BOHB ($ρ$ $\geq$ 0.82, p = 0.0002)-all attributable to acetone or its isotopologues or fragments. End-of-exercise measurements of these signals enabled accurate prediction of participants with substantial post-exercise BOHB changes (F1 score $\geq$ 0.83, accuracy = 0.89). Our study did not reveal any novel breath-based biomarkers of fat oxidation, but it confirmed acetone as the key marker. Moreover, our findings suggest that breath acetone measurements during exercise may already enable basic predictions of post-exercise fat oxidation.