Oviposition by Gasterophilus pecorum on shoot tips of Stipa caucasica is a key determinant of its severe infection of the reintroduced Przewalski’s horse (Equus przewalskii). Volatiles in shoots of grasses on which Przewalski’s horse feeds, including S. caucasica at preoviposition, oviposition, and postoviposition stages of G. pecorum, S. caucasica, Stipa orientalis, and Ceratoides latens at the oviposition stage, and S. caucasica in various growth periods, were collected by dynamic headspace adsorption and analyzed by automatic thermal desorption gas chromatography-mass spectrometry. Among five volatiles with highest relative contents under three sets of conditions, caprolactam and 3-hexen-1-ol,(Z)- were common to all samples. Caprolactam was highest in C. latens at oviposition stage of G. pecorum and lowest in S. caucasica at postoviposition stage, and that of 3-hexen-1-ol,(Z)- was lowest in C. latens and highest in S. caucasica at its oviposition stage. Particularly, in S. caucasica during the three oviposition phenological stages of G. pecorum, 3-hexen-1-ol,acetate,(Z)-, 2(5H)-furanone,5-ethyl-, and 3-hexen-1-ol,acetate,(E)- were unique, respectively, to the preoviposition, oviposition, and postoviposition stages; in three plant species during the oviposition stage of G. pecorum, 3-hexen-1-ol,acetate,(Z)-, 3-hexenal, and 1-hexanol were unique to S. orientalis, acetic acid, hexanal, and 2(5H)-furanone,5-ethyl- to S. caucasica, and 1,3,6-octatriene,3,7-dimethyl-, cis-3-hexenyl isovalerate, and acetic acid hexyl ester to C. latens; in S. caucasica, 2-undecanone,6,10-dimethyl- was unique to the early growth period, acetic acid and 2(5H)-furanone,5-ethyl- to the flourishing growth period, and 3-hexen-1-ol,acetate,(Z)- and 1,3,6-octatriene,3,7-dimethyl- to the late growth period. Furthermore, substances specific to S. orientalis and C. latens were also present in S. caucasica, except at oviposition stage. Our findings will facilitate studies on G. pecorum’s adaptation to the arid desert steppe and its future control.