Summary Heat processing has a significant effect on the flavour of walnut kernels, while the related analyses on their characteristic flavour changes have not been extensively studied yet. In this study, headspace solid phase micro‐extraction combined with gas chromatography–mass spectrometry‐olfactometry (HS‐SPME‐GC–MS‐O), electronic nose (E‐nose) and multivariate analysis methods were used to explore the effects of microwave, baking and drying treatments on the characteristic flavour of walnut kernels. The results showed that the content of aldehydes and heterocyclic compounds increased significantly after heat treatment. A total of eighty‐nine volatile compounds were identified by the above three heat processing methods, mainly aldehydes and alkanes, including twenty‐five aroma active substances and twelve potential markers. It also discovered that the flavour characteristics of walnut kernels changed from green to roasted and burnt odours after heat treatment, in which the microwave treatment group displayed the strongest roasted and burnt flavours among the above processing methods. The comparative analysis of the differences in characteristic flavour on walnut kernels via different heat processing methods could provide a technical support for the development of walnut products and their industrial utilisation.