Finger citron (Citrus medica var. sarcodactylis) is a popular ornamental tree and an important source of essential oils rich in terpenoids, but the mechanisms behind volatile formation are poorly understood. We investigated gene expression changes combined with volatile profiling of ten samples from three developing organs: flower, leaf, and fruit. A total of 62 volatiles were identified with limonene and γ-terpinene being the most abundant ones. Six volatiles were identified using partial least squares discriminant analysis (PLS-DA) that could be used as markers for distinguishing finger citron from other citrus species. RNA-Seq revealed 1,611,966,118 high quality clean reads that were assembled into 32,579 unigenes. From these a total of 58 terpene synthase (TPS) gene family members were identified and the spatial and temporal distribution of their transcripts was measured in developing organs. Transcript levels of transcription factor genes AP2/ERF (251), bHLH (169), bZIP (76), MYB (155), NAC (184), and WRKY (66) during finger citron development were also analyzed. From extracted subnetworks of three modules constructed by weighted gene co-expression network analysis (WGCNA), thirteen TPS genes and fifteen transcription factors were suggested to be related to volatile terpenoid formation. These results provide a framework for future investigations into the identification and regulatory network of terpenoids in finger citron.