The increasing demand for wood pellets on the market, which is caused by their excellent combustion properties, inspires the production as well as the utilization of alternative biomass pellets as fuel. However, the emission of volatile organic compounds gives pellet materials a distinct odor or off-odor, which is directly perceived by the end user. Thus, there is an urgent need for knowledge about the emitted volatile organic compounds and their potential formation pathways as well as their contributions to odor properties of the pellets. In this study, pellets made of biomass energy crops (i.e., straw or miscanthus), byproducts from the food industry (i.e., rapeseed, grapevine, or DDGS (dried distillers grains with solubles from beer production)), or eucalyptus, as well as torrefied pinewood and torrefied sprucewood were investigated with respect to the emitted volatile compounds and their possible impact on the pellet odor. Headspace solid-phase microextraction in combination with gas chromatography–mass spectrometry was used to enrich, separate, and identify the compounds. Techniques used in sensory science were applied to obtain information about the odor properties of the samples. A total of 59 volatile compounds (acids, aldehydes and ketones, alcohols, terpenes, heterocyclic compounds, and phenolic compounds) were identified with different compound ratios in the investigated materials. The use of multivariate statistical data analysis provided deep insight into product–compound interrelation. For pellets produced from bioenergy crops, as well as from byproducts from the food industry, the sensory properties of the pellets reflected the odor properties of the raw material. With respect to the volatiles from torrefied pellets, those volatiles that are formed during the torrefaction procedure dominate the odor of the torrefied pellets covering the genuine odor of the utilized wood. The results of this work serve as a substantiated basis for future production of pellets from alternative raw materials.