This study aimed to investigate the role of stability of low density lipoprotein (LDL) spherical particles as well as oxidation of lipids and proteins on formation of off-odor in heated egg yolk (EY). Off-odor attributes and volatile components of EY with different thermal temperature (25 °C-90 °C) were investigated by sensory evaluation, gas chromatography-mass spectrometry (GC-MS) and GC-ion mobility spectrometry (IMS). The off-flavor and volatile compounds increased significantly when EY were heated at 60 °C-65 °C. Destruction of LDL particle structure was presented by confocal laser scanning microscopy with thermal treatment at 60 °C. A positive correlation (r = 0.899, p < 0.05) was shown between oil exudation and off-odor of heated EY. Moreover, oxidation of lipids and proteins, protein aggregation, and changes of protein secondary structure (increased β-sheets and decreased α-helices) in LDL particles were all found when heating temperature rose to 65 °C. It was speculated that unstability of LDL particles resulted in the leakage of lipids; then oxidative products of lipids took part in the formation of off-odor volatiles in heated EY.