This was the first study to compare the key aroma-active compounds that contributed to the different aroma profiles between roasted and cold-pressed sesame oils. Aroma compounds were extracted by headspace solid-phase micro-extraction (HS-SPME) and simultaneous distillation extraction (SDE) and were analysed using gas chromatography–olfactometry-mass spectrometry (GC-O-MS) and aroma extract dilution analysis (AEDA). The numbers of aroma-active compounds with the flavour dilution (FD) factors between 1 and 2048 were 57 and 16 in the roasted and cold-pressed sesame oils, respectively. A total of 28 volatile compounds were identified as aroma-active compounds in sesame oils for the first time. Important aroma compounds (FD ≥ 8) were quantified by the external standard method, and their odour activity values (OAV) were calculated as the ratio of their concentrations to odour thresholds in oil. The numbers of key aroma-active compounds defined by OAVs ≥ 1 were 23 (OAVs = 1–385) and 8 (OAVs = 1–42), respectively, in the roasted and cold-pressed sesame oils. 2-Methoxy-4-vinylphenol (smoked, 1924 µg/kg, OAV = 385), 2-methoxyphenol (smoked, 1488 µg/kg, OAV = 114) and pyrazines (roasted and nutty, 578–22750 µg/kg, OAV = 1–67) were the most important aroma-active compounds in the roasted sesame oil, whereas hexanal (green and fruity, 3094 µg/kg, OAV = 42) was the most important aroma-active compound in the cold-pressed sesame oil, followed by (E,E)-2,4-decadienal (earthy, 4170 µg/kg, OAV = 31), dimethyl sulfone (sulphur-like, 406 µg/kg, OAV = 20) and octanal (green and fruity, 901 µg/kg, OAV = 16). This study provides valuable information for manufacturers to achieve precise flavour control of sesame oil products.