Aroma components in foxtail millet are one of the key factors in origin traceability and quality control, and they are associated with consumer acceptance and the corresponding processing suitability. However, the volatile differences based on the foxtail millet varieties have not been studied further. The present study was undertaken to develop the characteristic volatile fingerprint and analyze the differences in volatile compounds of 20 foxtail millet varieties by electronic nose (E-Nose), headspace-gas chromatography-ion mobility spectrometry (HS-GC-IMS), and headspace solid-phase microextraction/gas chromatography-mass spectrometry (HS-SPME/GC-MS). A total of 43 volatile compounds were tentatively identified in foxtail millet samples, 34 and 18 by GC-IMS and GC-MS, respectively. Aldehydes, alcohols, and ketones were the major volatile compounds, and the hexanal content was the highest. The characteristic volatile fingerprint of foxtail millet was successfully constructed. A total of 39 common volatile compounds were found in all varieties. The content of hexanal, heptanal, 1-pentanol, acetophenone, 2-heptanone, and nonanal were explored to explain the aroma characteristics among the different varieties, and different varieties can be separated based on these components. The results demonstrate that the combination of E-Nose, GC-IMS, and GC-MS can be a fast and accurate method to identify the general aroma peculiarities of different foxtail millet varieties.