Five-year-old moso bamboo was torrefied under nitrogen and different oxygen concentrations of 3% to 9% and torrefaction temperatures of 200 °C to 300 °C. Mass yields of 31.7% to 96.6%, energy yields of 30.8% to 98.9%, and higher heating values (HHVs) in the range 18.8 to 27.1 MJ/kg were obtained. The torrefied sample was characterized by Fourier transform infrared spectrometry (FTIR). Under the different torrefaction temperatures and oxygen concentrations, hemicellulose and cellulose were thermally decomposed, which led to significant changes in the chemical functional groups of the raw and torrefied bamboo. The pyrolysis experiments on raw and torrefied bamboo were conducted using the pyrolyzer coupled with a gas chromatography/mass spectrometer (Py-GC/MS). According to the Py-GC/MS analysis, the pyrolytic bio-oil were mainly composed of acids, furans, phenols, ketones, aldehydes, esters, alcohols, and hydrocarbons. Higher torrefaction temperature reduced the relative contents of acids, ketones, furans, and aldehydes. However, lower torrefaction temperatures and moderate oxygen concentrations were optimal for the production of phenols and hydrocarbons.