In this work, Xinjiang walnuts were used as raw material, and the effect of roasting time on the key aroma components of walnut milk was investigated. Then, sensory analysis was applied to evaluate the prepared walnut milk, and the solvent‐assisted flavor evaporation (SAFE) was adopted to extract the volatile flavor substances in these samples. Besides, gas chromatography-mass spectrometry (GC-MS) and gas chromatography-olfactometry-mass spectrometry (GC-O-MS) were used to identify the aroma compounds. The results showed that a total of 109 volatile compounds were identified in walnut milk at four different roasting times, mainly including nitrogen-containing compounds, aldehydes, alcohols, heterocyclics and ketones. Among them, the content of each type of compounds was relatively high in the sample roasted for 23 min. In addition, results of GC-O-MS showed that a total of 69 aroma compounds were detected from four samples, and 18 of them were detected at the same time. Among which trans,trans-2,4-decadienal, 5-methyl-2-furfural, trans-2-nonenal, 2-ethyl-3,6-dimethylpyrazine, 2-ethylpyrazine, 1-octen-3-ol, 2-furanmethanol and 2-methoxy-4-vinylphenolare were the key aroma compounds in roasted walnut milk. Comprehensive analysis results found that the walnut milk samples roasted for 23 min had good flavor characteristics, which had the largest number of aroma compounds and higher aroma intensity, presenting typical nutty and roasted flavor.