To investigate the relationship between lipid oxidation and the development of volatile compounds (VOCs) in grouper lipid during cold storage, lipids were extracted from grouper as a single-factor study to avoid the complex interactions between microorganisms and proteins. Lipid oxidation during storage and the content of 12 long-chain fatty acids (FAs) in grouper lipids were evaluated. The HS-SPME-GC–MS technique was used to analyze the VOCs in grouper lipids, and a total of 13 key VOCs, primarily comprising alcohols and aldehydes, were screened. Pearson correlation analysis showed a strong acorrelation between these 13 key VOCs, which influenced the overall flavor of grouper lipids, and lipid oxidation, mainly involving secondary oxidation of lipids and the oxidation of long-chain polyunsaturated fatty acids, such as eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA). Possible solutions for grouper lipid deterioration were proposed, providing a reference for maintaining the overall quality of grouper and regulating flavor formation.