The Sitophilus zeamais (maize weevil) and Sitophilus oryzae (rice weevil) are two insect pests that have caused huge economic losses to stored grains worldwide. It is urgent to develop an environmentally friendly strategy for the control of these destructive pests. Here, the olfactory-mediated selection preference of the two weevil species to three stored grains was analyzed, which should help establish a pull–push system in managing them. Bioassays showed that maize weevil adults prefer to select maize, followed by paddy and wheat, while rice weevil adults mainly migrate towards wheat. Volatile analyses revealed that 2-ethylhexanol, piperitone, and (+)-Δ-cadiene are the major components in volatiles from both maize and wheat, but the abundance of these chemicals is much lower in maize than that in wheat. The volatile limonene was only detected in paddy. Y-tube bioassays suggest that 2-ethylhexanol, piperitone, and (+)-Δ-cadiene were all attractive to both weevils, whereas limonene was attractive only to rice weevils. Overall, maize weevil appeared more sensitive to the tested volatiles based on having much lower effective concentrations of these volatiles needed to attract them. The differences in volatile profiles among the grains and the sensitivity of the two species towards these volatiles may explain the behavioral differences between maize and rice weevils in selecting host grains. The differences in sensitivity of maize and rice weevils towards host volatile components with abundance differences are likely determinants driving the two insect species to migrate towards different host grains.