Fried pepper (Zanthoxylum bungeanum Maxim.) oil (FPO) is widely used in Chinese cuisine because of its unique aroma. To investigate the effects of different frying temperatures and different frying times on the volatile composition and odor characteristics of FPOs, descriptive sensory analysis (DSA), solvent-assisted flavor evaporation–gas chromatography–mass spectrometry (SAFE–GC–MS) and electronic nose (E-nose) were used to analyze the FPOs (FPO1–FPO4 represented the pepper oil fried at 110 °C, 120 °C, 130 °C, and 140 °C; FPO5–FPO7 represented the pepper oil fried for 10 min, 20 min and 30 min). The results showed that FPO3 and FPO6 had strong citrus-like and floral aromas and exhibited significant advantages in sensory attributes. A total of 46 volatile compounds were identified by SAFE–GC–MS; among them, FPO3 and FPO6 had a higher volatile compound content. β-Caryophyllene was detected in only FPO3 and FPO6; linalool was higher in FPO3 and FPO6, which might cause them to exhibit stronger floral and citrus-like aromas. The presence of (2E,4E)-2,4-decanedienal would be one of the reasons for the strong fatty aroma exhibited in FPO4 and FPO7. FPO3 and FPO6 were associated with citrus-like and floral aromas by partial least squares regression (PLSR) analysis, which agreed with the sensory evaluation results.