Walnut oil is an edible oil with high nutritional value, and the roasting process influences its quality and flavor. This study aimed to investigate the effects of roasting on the fatty acid composition, bioactive compounds (tocopherols, polyphenols, and phytosterols), and antioxidant capacity of walnut oil. Additionally, the aroma compounds and sensory characteristics were evaluated to comprehensively assess the variations in walnut oil after roasting. Roasting resulted in no notable impact on the fatty acid composition of walnut oil but increased the content of tocopherols and polyphenols in walnut oil, increasing its antioxidant capacity. Heavy roasting (160°C/20 min) reduced the phytosterol content in walnut oil by 2.3%. In total, 146 volatile compounds were detected in both cold-pressed and roasted walnut oil using headspace solid-phase microextraction-gas chromatography-mass spectrometry, and 32 key aroma compounds were identified. Aromatic aldehydes, aliphatic aldehydes, and heterocyclic compounds significantly contributed to fragrant walnut oil. Furthermore, the principal component analysis based on quality characteristics and sensory evaluation indicated that moderate roasting (130°C/20 min, 130°C/30 min, and 160°C/10 min) provided walnut oil with a sweet, nutty, and roasted aroma, as well as high levels of linoleic acid, phytosterols, and γ-tocopherol. Although heavy roasting (160°C/15 min and 160°C/20 min) enhanced the antioxidant capacities of walnut oils due to high levels of polyphenols, the oils exhibited an unpleasant burnt aroma. This study showed that roasting promoted the quality and flavor of walnut oil, and moderate conditions endowed walnut oil with a characteristic-rich flavor while maintaining excellent quality.