The effect of different pretreatment approaches based on alkali (NaOH)/hydrogen peroxide (H2O2) on willow sawdust (WS) biomass, in terms of delignification efficiency, structural changes of lignocellulose and subsequent fermentation toward ethanol, was investigated. Bioethanol production was carried out using the conventional yeast Saccharomyces cerevisiae, as well as three non-conventional yeasts strains, i.e., Pichia stipitis, Pachysolen tannophilus, Wickerhamomyces anomalus X19, separately and in co-cultures. The experimental results showed that a two-stage pretreatment approach (NaOH (0.5% w/v) for 24 h and H2O2 (0.5% v/v) for 24 h) led to higher delignification (38.3 ± 0.1%) and saccharification efficiency (31.7 ± 0.3%) and higher ethanol concentration and yield. Monocultures of S. cerevisiae or W. anomalus X19 and co-cultures with P. stipitis exhibited ethanol yields in the range of 11.67 ± 0.21 to 13.81 ± 0.20 g/100 g total solids (TS). When WS was subjected to H2O2 (0.5% v/v) alone for 24 h, the lowest ethanol yields were observed for all yeast strains, due to the minor impact of this treatment on the main chemical and structural WS characteristics. In order to decide which is the best pretreatment approach, a detailed techno-economical assessment is needed, which will take into account the ethanol yields and the minimum processing cost.