Smelling is one of the five senses, which plays an important role in our everyday lives. Volatile compounds are, for example, characteristics of food where some of them can be perceivable by humans because of their aroma. They have a great influence on the decision making of consumers when they choose to use a product or not. In the case where a product has an offensive and strong aroma, many consumers might not appreciate it. On the contrary, soft and fresh natural aromas definitely increase the acceptance of a given product. These properties can drastically influence the economy; thus, it has been of great importance to manufacturers that the aroma of their food product is characterized by analytical means to provide a basis for further optimization processes. A lot of research has been devoted to this domain in order to link the quality of, e.g., a food to its aroma. By knowing the aromatic profile of a food, one can understand the nature of a given product leading to developing new products, which are more acceptable by consumers. There are two ways to analyze volatiles: one is to use human senses and/or sensory instruments, and the other is based on advanced analytical techniques. This work focuses on the latter. Although requirements are simple, low-cost technology is an attractive research target in this domain; most of the data are generated with very high-resolution analytical instruments. Such data gathered based on different analytical instruments normally have broad, overlapping sensitivity profiles and require substantial data analysis. In this review, we have addressed not only the question of the application of chemometrics for aroma analysis but also of the use of different analytical instruments in this field, highlighting the research needed for future focus.