Fermented soy foods can effectively improve the unpleasant odor of soybean and reduce its anti-nutritional factors while forming aromatic and bioactive compounds. However, a differential analysis of characteristic flavor and function among different fermented soy foods has yet to be conducted. In this study, a systematic comparison of different fermented soy foods was performed using E-nose, HS-SMPE-GC×GC-MS, bioactivity validation, and correlation analysis. The results showed that soy sauce and natto flavor profiles significantly differed from other products. Esters and alcohols were the main volatile substances in furu, broad bean paste, douchi, doujiang, and soy sauce, while pyrazine substances were mainly present in natto. Phenylacetaldehyde contributed to the sweet aroma of furu, while 1-octene-3-ol played a crucial role in the flavor formation of broad bean paste. 2,3-Butanediol and ethyl phenylacetate contributed fruity and honey-like aromas to douchi, doujiang, and soy sauce, respectively, while benzaldehyde played a vital role in the flavor synthesis of douchi. All six fermented soy foods demonstrated favorable antioxidative and antibacterial activities, although their efficacy varied significantly. This study lays the foundation for elucidating the mechanisms of flavor and functionality formation in fermented soy foods, which will help in the targeted development and optimization of these products.