The differences in aerosol composition between new tobacco types (heated tobacco products and electronic cigarettes) and conventional cigarettes have not been systematically studied. In this study, the emissions of volatile organic compounds (VOCs), carbon monoxide (CO), nicotine, and tar from heated tobacco products (HTPs), electronic cigarettes (e-cigarettes) and conventional cigarettes were compared, and their health risks were evaluated by applying the same smoking regime and a loss mechanism of smoking. Twenty VOCs were identified in aerosols from HTPs, 18 VOCs were identified in aerosols from e-cigarettes, and 97 VOCs were identified in aerosols from cigarettes by GC–MS and HPLC analysis. The concentrations of total VOCs (TVOCs) emitted by the three types of tobacco products decreased as follows: e-cigarettes (795.4 mg/100 puffs) > cigarettes (83.29 mg/100 puffs) > HTPs (15.65 mg/100 puffs). The nicotine content was 24.63 ± 2.25 mg/100 puffs for e-cigarettes, 22.94 ± 0.03 mg/100 puffs for cigarettes, and 8.817 ± 0.500 mg/100 puffs for HTPs. When using cigarettes of the same brand, the mass concentrations of VOCs, tar, and CO emitted by HTPs were approximately 81.2%, 95.9%, and 97.5%, respectively, lower than the amounts emitted by cigarettes. The health risk results demonstrated that the noncarcinogenic risk of the three types of tobacco products decreased as follows: cigarettes (3609.05) > HTPs (2449.70) > acceptable level (1) > e-cigarettes (0.91). The lifetime cancer risk (LCR) decreased as follows: cigarettes (2.99 × 10−4) > HTPs (9.92 × 10−5) > e-cigarettes (4.80 × 10−5) > acceptable level (10−6). In general, HTPs and e-cigarettes were less harmful than cigarettes when the emission of VOCs and CO was considered.