Recent growth and diversification of sheep milk products means more sophisticated methods are required to ensure their flavour quality. The objective of this study was to compare four extraction techniques for the analysis of volatile compounds in sheep milk by gas chromatography-mass spectrometry (GC-MS). Solvent Assisted Flavour Evaporation (SAFE), Solid Phase Microextraction (SPME), Headspace Sorptive Extraction (HSSE) and Stir Bar Sorptive Extraction (SBSE) were evaluated for their sensitivity, selectivity, reproducibility, and overall efficiency. A total of 48 volatile compounds from nine compound classes were identified in the spray-dried sheep milk. Alcohols, aldehydes, alkanes, carboxylic acids, ketones, lactones, sulphur compounds, nitrogen compounds, and terpenes were all present, but the differences between the methods were most apparent for lactones. SBSE extracted eight lactones, SAFE extracted four lactones and HSSE and SPME only detected trace levels of two lactones. Six of the lactones—δ-hexa-lactone, δ-octalactone, γ-decalactone, γ-dodecalactone, δ-tetradecalactone, and δ-hexadeca-lactone—were identified for the first time in spray-dried sheep milk. The present work demonstrated that SBSE is an effective tool for the extraction and analysis of volatiles, especially lactones, in sheep milk and dairy products in general. A discussion of the benefits and limitations of each method is included.