The basidiomycete Pleurotus sapidus (PSA) was grown in submerged cultures with molasses as substrate for the production of mycelium as a protein source for food applications. The volatilomes of the substrate, the submerged culture, and the mycelia were analyzed by gas chromatography-tandem mass spectrometry-olfactometry. For compound identification, aroma dilution analyses by means of headspace solid phase microextraction and stir bar sorptive extraction were performed via variation of the split vent flow rate. Among the most potent odorants formed by PSA were arylic compounds (e.g., p-anisaldehyde), unsaturated carbonyls (e.g., 1-octen-3-one, ( E)-2-octenal, ( E, E)-2,4-decadienal), and cyclic monoterpenoids (e.g., 3,9-epoxy- p-menth-1-ene, 3,6-dimethyl-3a,4,5,7a-tetrahydro-1-benzofuran-2(3 H)-one). Several compounds from the latter group were described for the first time in Pleurotus spp. After separation of the mycelia from the medium, the aroma compounds were mainly enriched in the culture supernatant. The sensory analysis of the mycelium correlated well with the instrumental results.