Under certain conditions, ultrasonic treatment of certain foods and ingredients can contribute to the appearance of an extraneous odor, which is not usual for them, especially in fat-containing products. Since the food sector uses high-intensity ultrasound to control the crystallization of fats, the development of foreign smells and secondary fat oxidation products may impact the quality and safety of such items. In this work, we studied the volatile compounds’ profiles of oleogels structured with individual fractions of beeswax using ultrasonic treatment. For this work, six samples of oleogels were obtained. Sunflower oil was used as a fatty base, and three fractions of beeswax were used as gelators: hydrocarbon fraction (>99%), monoester fraction (>95%), and a mixture fraction of wax di- and triesters (10.1%), free fatty acids (40.1%), and free fatty alcohols (49.8%). The influence of ultrasonic treatment on the properties of oleogels was assessed using light microscopy in polarized light, texture analysis, gas chromatography with flame ionization, and mass spectrometric detection. Ultrasonic treatment affected the crystallization of oleogels and led to the formation of smaller crystals. At the same time, sonication led to both an increase and a decrease in the firmness of oleogels, depending on the composition of the gelator. As regards volatile compounds, a total of 121 fragrant substances were identified in all samples, including such groups as alkanes, alkenes, alkadienes, alkynes, alkadiynes, alcohols, ketones, aldehydes, terpenes, alkyl alkane, and alkyl benzene derivatives. Ultrasonic treatment caused formation of new volatile unsaturated compounds. Some of them are known to have an unpleasant odor and thus might be responsible for the extraneous odor formation in studied fatty systems. Those were mainly (E)-2-octene, 1-heptene, 1,3-butadiene, and 1,3-octadiene in all oleogel samples. Sonicated samples B and C additionally had but-1-en-3-yne, pentenyne, and 1,3-butadiyne, whose odor can also be characterized as extraneous and distasteful. Several volatile compounds, supposed to be products of lipid oxidation, were also identified. Here we assume a reasonable approach is needed when selecting sonication conditions to prevent undesirable taste and flavor in oleogels and oleogel-based food products.