The impact of the roasting degree on ultra-high-pressure cold brew (UHP) coffee remains unclear, although it has been found that UHP technology accelerates the extraction of cold brew (CB) coffee. Therefore, this study investigated the effects of three different degrees of roasting (light, medium, and dark) on the physicochemical characteristics, volatile and non-volatile components, and sensory evaluation of UHP coffee. Orthogonal partial least-squares-discriminant analysis (OPLS-DA) and principal component analysis (PCA) were used to assess the effects of different roasting degrees. The results showed that most physicochemical characteristics, including total dissolved solids (TDSs), extraction yield (EY), total titratable acidity (TTA), total sugars (TSs), and total phenolic content (TPC), of UHP coffee were similar to those of conventional CB coffee regardless of the degree of roasting. However, the majority of physicochemical characteristics, non-volatile components, including the antioxidant capacity (measured based on DPPH and ABTS) and melanoidin, caffeine, trigonelline, and CGA contents increased significantly with an increase in roasting degree. The sensory evaluation revealed that as the roasting degree rose, the nutty flavor, astringency, bitterness, body, and aftertaste intensities increased, while floral, fruity, and sourness attributes decreased. The HS-SPME-GC/MS analysis showed that most volatile components increased from light to dark roasting. Moreover, 15 representative differential compounds, including hazelnut pyrazine, linalool, butane-2,3-dione, and 3-methylbutanal, were identified by calculating the odor-active values (OAVs), indicating that these contributed significantly to the odor. The PCA showed that the distance between the three roasting degree samples in UHP coffee was smaller than that in CB coffee. Overall, the effect of roasting degrees on UHP coffee was less than that on CB coffee, which was consistent with the results of physicochemical characteristics, volatile components, and sensory evaluation.