Both free and glycosidically bound forms of volatile compounds in Vidal grapes from the Shangri-La high-altitude region during the on-vine non-destructive dehydration process were investigated by headspace solid-phase micro-extraction (HS-SPME) combined with gas chromatography–mass spectrometry (GC-MS), following which the data were processed by multivariate statistical analysis. Fatty-acid-derived volatiles (FADs), amino-acid-derived volatiles (AADs), and isoprene-derived volatiles (IPDs), which occurred mainly in bound forms, were the three major volatiles in dehydrated Vidal grapes. Water-loss concentration, biosynthesis, and biodegradation all occurred during dehydration, eventually modifying some volatiles significantly, especially some powerful odorants such as hexanal, trans-2-hexenal, 2-phenethyl acetate, β-myrcene, linalool, geraniol, cis-rose oxide, and β-damascenone. 1-Octen-3-ol was relatively stable during the non-destructive on-vine dehydration process and its content in grape juice was mainly determined by the concentration effect. 2,4-Di-tert-butylphenol, 2-phenethyl acetate, 2-methyl-1-propanol, and hexanol were screened as some of the most important metabolic markers to discriminate grapes at different dehydration degrees. Our study also highlights the fundamental importance of the expression of volatile content in the metabolomic study of grape berries.