Volatile profiling of whole milk powder is valuable for obtaining information on product quality, adulteration, legislation, shelf life, and aroma. For routine analysis, automated solventless volatile extraction techniques are favored due their simplicity and versatility, however no single extraction technique can provide a complete volatile profile due to inherent chemical bias. This study was undertaken to compare and contrast the performance of headspace solid phase microextraction, thermal desorption, and HiSorb (a sorptive extraction technique in both headspace and direct immersion modes) for the volatile analysis of whole milk powder by gas chromatography mass spectrometry. Overall, 85 unique volatiles were recovered and identified, with 80 extracted and identified using a non-polar gas chromatography column, compared to 54 extracted, and identified using a polar gas chromatography column. The impact of salting out was minimal in comparison to gas chromatography column polarity and the differences between the extraction techniques. HiSorb extracted the most and greatest abundance of volatiles, but was heavily influenced by the number and volume of lactones extracted in comparison to the other techniques. HiSorb extracted significantly more volatiles by direct immersion than by headspace. The differences in volatile selectivity was evident between the techniques and highlights the importance of using multiple extraction techniques in order to obtain a more complete volatile profile. This study provides valuable information on the volatile composition of whole milk powder and on differences between extraction techniques under different conditions, which can be extrapolated to other food and beverages.