The fatty acid species and the concentration of cold pressed sesame oil (CSO) were investigated and the chemical nature of the key aroma of CSO was revealed, using white and black sesame seeds as raw materials. The results showed that 22 fatty acids were detected in CSO, with linoleic, oleic, palmitic and stearic acids being the main types of fatty acids. Seventeen aroma-active compounds, including 5 aldehydes, 3 acids, 3 alcohols, 3 phenols and 3 others, were identified in CSO by molecular sensory science. Nine compounds were found to provide CSO aroma with OAV values ranging from 2 to 59. Aroma reconstitution and omission experiments showed that 2methoxy-3-isobutylpyrazine (IBMP), hexanal, valeric acid, and guaiacol were key aroma components in CSO. IBMP and hexanal were the source of the green aroma of the CSO. Finally, the possible mechanisms for the generation of aldehydes and pyrazine aroma-active compounds were proposed. The clarification of key aroma substances and their formation mechanisms in CSO can provide guidance for the industrial production and storage of CSO.