In food authentication, it is important to compare different analytical procedures and select the best method. The aim of this study was to determine the fingerprints of Zweigelt and Rondo wines through headspace analysis using ultra-fast gas chromatography (ultra-fast GC) and to compare the effectiveness of this approach at classifying wines based on grape variety and type of malolactic fermentation (MLF) as well as its greenness and practicality with three other chromatographic methods such as headspace solid-phase microextraction/gas chromatography-mass spectrometry with carboxen-polydimethylosiloxane fiber (SPME/GC-MS with CAR/PDMS fiber), headspace solid-phase microextraction/gas chromatography-mass spectrometry with polyacrylate fiber (SPME/GC-MS with PA fiber), and ultra performance liquid chromatography–photodiode array detector-tandem mass spectrometry (UPLC-PDA-MS/MS). Principal Component Analysis (PCA) revealed that fingerprints obtained using all four chromatographic methods were suitable for classification using machine learning (ML). Random Forest (RF) and Support Vector Machines (SVM) yielded accuracies of at least 99% in the varietal classification of Zweigelt and Rondo wines and therefore proved suitable for robust fingerprinting-based Quality Assurance/Quality Control (QA/QC) procedures. In the case of wine classification by the type of MLF, the classifiers performed slightly worse, with the poorest accuracy of 91% for SVM and SPME/GC-MS with CAR/PDMS fiber, and no less than 93% for the other methods. Ultra-fast GC is the greenest and UPLC-PDA-MS/MS is the most practical of the four chromatographic methods.