Odor sensory evaluation is broadly applied in food, clothing, cosmetics, and other fields. Traditional artificial sensory evaluation has poor repeatability, and the machine olfaction represented by the electronic nose (E-nose) is difficult to reflect human feelings. Olfactory electroencephalogram (EEG) contains features associated with human olfactory preference, which has unique advantages in odor sensory evaluation. However, the difficulty of cross-subject olfactory EEG recognition dramatically limits its application. In this paper, a human–machine collaborative multimodal learning method is proposed for cross-subject olfactory preference recognition. Firstly, the olfactory EEG and E-nose multimodal data acquisition and preprocessing paradigms are established. Secondly, a complementary multimodal data mining strategy is proposed to effectively mine the individual and common features representing subjects' olfactory preferences from multimodal data. Finally, the cross-subject olfactory preference recognition is achieved in 24 subjects by fusing the extracted common and individual features, and the recognition effect is superior to the state-of-the-art recognition methods. Furthermore, the advantages of the proposed method in cross-subject olfactory preference recognition indicate its potential for practical odor evaluation applications.