A nutty flavor is desirable in Cheddar cheese and is easily accepted by most Chinese consumers. Although compounds responsible for nutty flavor in cheeses have been documented, no final conclusions have been reached. In this study, nine samples of top‐selling Cheddar cheeses in the Chinese market were selected, and the odor‐active compounds responsible for the nutty flavor in these samples were studied by gas chromatography‐mass spectrometry (GC‐MS), gas chromatography‐olfactometry (GC‐O), sensory evaluation, and aroma addition experiment. Forty‐nine volatile flavor compounds were identified by GC‐MS via headspace‐solid‐phase microextraction, and 14 odor‐active compounds were identified by GC‐O. It was determined that 2‐methylbutanal, 3‐methylbutanal, and benzaldehyde contributed to the nutty flavor of Cheddar cheese, according to Chinese tastes. The addition of suitable concentrations of these compounds to a model of Cheddar cheese without nutty flavor resulted in the perception of nutty aroma by sensory analysis. These results indicate that 2‐methylbutanal, 3‐methylbutanal, and benzaldehyde are the key aroma‐active compounds, which could make positive contributions to the nutty flavor of Cheddar cheese and favored by Chinese consumers within a certain concentration range.