Odorant‐binding proteins (OBPs) are translators of the external chemical signals, which are critical for maintaining insect life. However, few OBPs were reported in the yellow peach moth (YPM), Conogethes punctiferalis (Guenée). In the current study, five OBPs (CpunOBP1, CpunOBP2, CpunOBP7, CpunPBP2 and CpunPBP4) were expressed and purified from the antennae of the YPM. The results showed that the proteins encoded by five CpunOBPs had six conserved cysteine residues, which were typical structural features of classic OBPs. Moreover, the fluorescence competitive binding assays indicated that the binding affinity of five CpunOBPs to the selected YPM female sex pheromones, host plant volatiles and Penicillium‐inoculated apple volatiles was obviously different. The binding affinities of CpunOBP1 and CpunOBP2 with β‐ionone were the strongest. CpunOBP7 could bind with 12 host plant volatiles but was unable to interact with any one of the three tested female sex pheromones. CpunPBP2 and CpunPBP4 exhibited the highest binding affinity to female sex pheromone trans‐10‐hexadecenal among 30 tested compounds. In conclusion, these results suggest the functional differentiation of the CpunOBPs in recognizing sex pheromones, host plant volatiles and fungus‐infected host plant volatiles, which will provide new insights into selecting target proteins for YPM biocontrol.