Fenghuang Dancong, Tieguanyin, and Dahongpao teas are belonged to semi-fermented oolong teas and are famous for their unique aroma. However, reports regarding the systematic comparison, differentiation, and classification of the volatile components of these three types of oolong teas are lacking. In this study, we aimed to establish a method for distinguishing these three types of oolong teas. The volatile components in a total of 21 tea samples of these three types of oolong teas were extracted, determined, and identified by headspace solid-phase microextraction (HS-SPME) combined with gas chromatography-mass spectrometry (GC-MS). In addition, chemometric methods such as hierarchical cluster analysis (HCA), principal component analysis (PCA), and orthogonal partial least squares discriminant analysis (OPLS-DA) were used for distinguishing and classifying the three types of oolong teas on the basis of the similarities and differences in the volatile components. The results showed that 125 volatile components were extracted and identified from the three types of oolong teas, among which 53 volatile components overlapped among the samples. The results of HCA indicated that the samples of each of the three types of oolong teas could be placed in one category when the t value was 220. The results of PCA and OPLS-DA showed that the volatile components such as dehydrolinalool, linalool oxide II, linalool, α-farnesene, linalool oxide I, β-ocimene, nerolidol, cis-3-butyric acid folate, myrcene, and (Z)-hexanoic acid-3-hexenyl ester are the characteristic components, which can be used to distinguish the three types of oolong teas. We developed a simple, fast, and efficient method for distinguishing three types of oolong teas and provided a feasible technique for the identification of oolong tea types.