Wuyi rock tea (WRT) is one of the most famous subcategories of oolong tea, exhibiting distinct aroma characteristics with the application of different cultivars. However, a comprehensive comparison of the characteristic volatiles among WRTs with different cultivars has rarely been carried out. In this study, non-targeted analyses of volatile fragrant compounds (VFCs) and targeted aroma-active compounds in WRTs from four different cultivars were performed using chemometrics and gas chromatography olfactometry/mass spectrometry (GC-O/MS). A total of 166, 169, 166, and 169 VFCs were identified for Dahongpao (DHP), Rougui (RG), Shuixian (SX), and Jinfo (JF), respectively; and 40 components were considered as the key differential VFCs among WRTs by multivariate statistical analysis. Furthermore, 56 aroma-active compounds were recognized with predominant performances in “floral & fruity”, “green & fresh”, “roasted and caramel”, “sweet”, and “herbal” attributes. The comprehensive analysis of the chemometrics and GC-O/MS results indicated that methyl salicylate, p-cymene, 2,5-dimethylpyrazine, and 1-furfurylpyrrole in DHP; phenylethyl alcohol, phenethyl acetate, indole, and (E)-β-famesene in RG; linalool, phenethyl butyrate, hexyl hexanoate, and dihydroactinidiolide in JF; and naphthalene in SX were the characteristic volatiles for each type of WRT. The obtained results provide a fundamental basis for distinguishing tea cultivars, recombination, and simulation of the WRT aroma.