Tilapia is suitable for industrial roasting production because of its good flavor and processing adaptability. In this study, the key physicochemical properties and volatile compounds for sensory formation of roasted tilapia were identified after roasting condition optimization. The highest sensory score was obtained at 215 °C, 45 min, and 4% oil. During roasting, the a*, b*, hardness, chewiness, and oxidation of proteins and lipids significantly increased, the moisture content decreased, and the myofibrillar protein aggregation was observed by scanning electron microscope. After identification and quantification by headspace-gas chromatography-ion mobility spectrometry, 10 compounds with odor active value ≥1 were selected as characteristic flavor compounds. The correlation network indicated that the sensory formation mainly resulted from Maillard reaction, myofibrillar protein aggregation, and improvement of pleasant volatile flavor compounds induced by oxidation of proteins and lipids and water loss. This study provides an important theoretical basis and technical support for roasted tilapia production.