The purpose of this study was to clarify effects of water changes on the quality and volatile compounds of Penaeus monodon during frozen storage. The content of immobilized water decreased significantly while the bound water and free water increased significantly. Total sulfhydryl content, and Ca2+-ATPase activity decreased significantly to 68.31 μmol/g and 0.127 U/mg, meantime, carbonyl content and MFI value increased significantly to 2.04 μmol/g prot and 55.10. Total of 50 volatile compounds were identified. Nonanal (M & D), 2-nonanone and octanal were only detected in fresh samples, while 3-hydroxy-2-butanone and 1-hydroxy-2-propanone were only found in the samples after 20 days of storage. Correlation analysis revealed that 6 of the volatile compounds were associated with the change of free water. Total of 28 and 17 volatile compounds showed significant correlations with the immobilized water and bound water, respectively. Four volatile compounds have the potential to be used as the flavor marker.