Mushroom powders, as functional food ingredients, have attracted much attention in recent years. In the present study, four drying methods, i.e., freeze drying (FD), hot air drying (HAD), microwave drying (MWD), and sun drying (SD), were investigated to determine the effects on the structure and lipid profile of mushroom powder. The morphology of the mushroom powder was studied by using X-ray microtomography. The surface of the particles was studied by using scanning electron microscopy. The identification of lipophilic components was carried out by using gas chromatography in a powder extract obtained under in vitro conditions simulating digestion. The FD powder extract, with the widest range of particle size distribution (17.7–2270.3 µm), represented flake shapes with a porous structure. In addition, particles with minimal sizes (17.7–35.4 µm) were recorded only in the FD powder extract. Among the samples, the representation of large granules (1135.5–2270.3 µm) was ranked in the order: MWD < SD < FD < HAD, where the MWD sample was characterized by a narrow particle size composition (35.4–1135.1 µm), whereas the HAD granules were characerizedd by a lamellar structure with multiple deformations. The MWD particles were fused microaglomerates, whereas the SD powder consisted of amorphous particles with a strongly wrinkled surface. Sixty compounds were identified in the lipophilic powder extracts. Regarding the number of compounds identified, the powder extracts were ranked in the order MWD > FD > HAD > SD. Based on the content of linoleic acid, the samples were ranked in the order HAD < MWD < FD < SD, and, based on the stearic acid concentration, they were ranked in the order FD < HAD < MWD < SD. Oleic acid was identified in the HAD and MWD powder extracts, and palmitic acid was only identified in the SD powder extract. According to the number of fatty acid esters, the extracts were ranked in the order SD < FD < MWD < HAD. As per the concentration, alkanes were obtained from HAD and MWD samples and fatty alcohols were obtained from the FD samples. Lipophilic substances with a possible undesirable effect were identified only in the FD and HAD powder extracts. The results of this study expand the currently limited knowledge about the effect of various drying methods on the structural properties of mushroom (Pleurotus ostreatus) powder and its lipophilic component. The new information obtained will contribute to better management of mushroom raw materials in terms of optimization, taking into consideration the manufacturer’s interest in the technological and functional properties of mushroom powders as a food ingredient or biologically active substance for the production of nutraceuticals.