Since the correlation between the overall aroma of in-shell walnuts and the volatile compounds existing in both their kernels and shells remained unclear, the odor profiles of roasted in-shell Xinjiang thin-shell walnuts including kernel and shell have been well investigated by sensory analysis, electronic nose, and HS-SPME/GC-MS, while volatile compounds were analyzed by multivariate statistical analysis of PLS-DA, variable importance projection (VIP) values and relative odor activity value (ROAV). Color and sensory evaluations confirmed the walnut shell did not change significantly after roasting, and it may have an odor-shielding effect on the kernel. Electronic nose could effectively distinguish the aroma difference of raw and roasted walnuts by signal intensities. A total of 94 volatile compounds were identified by GC-MS, and 31 odor-active compounds were recognized by further ROAV analysis. Although 2-methyl-furan with a spicy smoky aroma was increased in the roasted shell, benzaldehyde was raised in the roasted kernel with a bitter almond note, which played an important role in the roasted whole in-shell walnut odor. Overall, this study firstly explored the shell contribution to the whole odor of walnuts and illuminated the aromatic characteristics of in-shell roasting walnuts, which will provide a better understanding for the walnut processing and will be beneficial to the quality control for the roasted walnuts.