The chemical composition and the color of samples of waste cooking oils (WCOs) were determined prior to and after filtration on two different pads of bentonite differing in particle size. The volatile fraction was monitored by headspace solid-phase microextraction (HS-SPME) coupled with gas-chromatography, while the variation of the composition of the main components was analyzed by 1H NMR. Both techniques allowed the detection of some decomposition products, such as polymers, terpenes, and derivatives of the Maillard process. The analysis of the chemical composition prior to and after bentonite treatment revealed a tendency for the clays to retain specific chemical groups (such as carboxylic acids or double bonds), independent of their particle size. A pair comparison test was conducted in order to detect the sensory differences of the intensity of aroma between the WCO treated with the two different bentonites. In addition, characterization of the bentonite by means of powder X-ray diffraction (XRD) and thermogravimetric measurements (TG) was performed.