Air frying as a new roasting technology has potential for roasted fish production. In this study, the changes in volatile compounds (VCs) during air frying of tilapia were studied by quantitative gas chromatography–ion mobility spectrometry, followed by the identification of key VCs based on their odor activity value (OAV). There were 34 verified VCs, of which 16 VCs were identified as the key VCs with OAV ≥ 1. Most of the VCs were improved by air frying and peaked at 20 min. During the air frying, the total sulfhydryl content markedly decreased, while the protein carbonyl and MDA content significantly increased, suggesting the enhancement in the oxidation of lipids and proteins. The correlation network among the chemical properties and key VCs was constructed. The change in total sulfhydryl, protein carbonyl, and MDA showed significant correlation with most of the key VCs, especially 2-methyl butanal, ethyl acetate, and propanal. The results indicated that the oxidation of lipids and proteins contributed the most to the flavor improvement in air-fried tilapia. This study provides a crucial reference for the volatile flavor improvement and pre-cooked product development of roasted tilapia.