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Simple Summary: Arbuscular mycorrhizal fungi (AMF), as well as ultraviolet-B radiation (UV-B), could act as key factors affecting plant–insect interactions. The stress related to one of these two factors could be balanced by the positive effects of the other. In the present work, the feeding preferences of Myzus persicae aphids for lettuce plants exposed to two abiotic factors, i.e., AMF and UV-B, singly or in combination, was evaluated. Results showed that lettuce plants treated with UV-B increased in callose and oxidative stress indicators, signalling an alteration in the volatile organic compounds (VOCs) emitted. On the other hand, the negative effects of UV-B were partially mitigated in lettuces inoculated with AMF. Differently treated lettuces did not affect the feeding preferences of the M. persicae aphid population. Overall, this study shed light on how UV-B and AMF impact lettuce VOCs emission and defence mechanisms, but not the feeding behaviour of a polyphagous aphid species. Arbuscular mycorrhizal fungi (AMF) and ultraviolet-B radiation (UV-B) play important roles in plant–insect interactions by altering plant physiology and histology. We hypothesized that UV-B-induced oxidative stress was mitigated by AMF symbiosis. In this study, we conducted a multifactorial experiment to explore lettuce plant response to AMF inoculation and UV-B exposure (0.4 W m−2; 16 h d−1; 2 weeks), either together or individually, as well as the interaction with the polyphagous insect pest Myzus persicae (Sulzer). Lettuce plants subjected to UV-B radiation showed an increase in callose and oxidative stress indicators, as well as a decrease in stomatal density. Mycorrhizal colonization cancelled out the effect of UV-B on stomatal density, while the symbiosis was not affected by UV-B treatment. The plant volatile emission was significantly altered by UV-B treatment. Specifically, the non-terpene 1-undecene abundance (+M/+UVB: 48.0 ± 7.78%; −M/+UVB: 56.6 ± 14.90%) was increased, whereas the content of the non-terpene aldehydes decanal (+M/+UVB: 8.50 ± 3.90%; −M/+UVB: 8.0 ± 4.87%) and undecanal (+M/+UVB: 2.1 ± 0.65%; −M/+UVB: 1.20 ± 1.18%) and the sesquiterpene hydrocarbons (+M/+UVB: 18.0 ± 9.62 %; −M/+UVB: 19.2 ± 5.90%) was decreased. Mycorrhization, on the other hand, had no significant effect on the plant volatilome, regardless of UV-B treatment. Aphid population was unaffected by any of the treatments, implying a neutral plant response. Overall, this study provides new insights about the interactions among plants, UV-B, and AMF, outlining their limited impact on a polyphagous insect pest. [ABSTRACT FROM AUTHOR]