Identifying compounds present in the sugarcane epicuticular wax and using these compounds to classify the genotypes susceptible and resistant to the initial attack of sugarcane borer (Diatraea saccharalis) was the aim of this study. A greenhouse experiment was performed in a factorial scheme with and without borer infestation using genotypes previously characterized as resistant or susceptible in field-based experiments. Sugarcane whorls of six-month-old plants were collected before (BI) and after (AI) 72 h of sugarcane borer infestation. The sugarcane epicuticular wax was extracted in both times, i.e., BI and AI and its chemical composition was assessed by gas chromatography coupled to mass spectrometry (GC-MS). Twenty-five compounds were identified for both BI and AI. Classification models were built using partial least squares for discriminant analysis (PLS-DA) and linear discriminant analysis (LDA). Variable selection methods were used to improve the classification models. Ordered predictors selection for discriminant analysis (OPSDA) selected compounds that correctly classified all the test samples before borer infestation (Error = 0.000), and exhibited the most suitable classification parameters for the test set after borer infestation (Error = 0.111). The C30 pentacyclic triterpene friedelin and a high alcohol/aldehyde ratio were associated with the classification of resistant genotypes. Our findings have applicability in developing a screening methodology for breeding programs interested in identifying genotypes resistant to the initial feeding of sugarcane borer.