The aim of this work was to identify volatiles that contribute to the aroma of cooked cheese, including the role of fat content in their development during cooking. Volatiles and odorants in cooked mature Cheddar were identified using a combination of SPME (solid‐phase microextraction)/GC–O (gas chromatography–olfactometry) and SPME/GC–MS (gas chromatography–mass spectrometry). A selection of the odorants was quantitated in six cheeses, uncooked and cooked, (mature Cheddar, high‐, medium‐, and low‐fat mild Cheddar, mozzarella, and Parmesan). Many compounds showed significant differences between cooked and uncooked cheese; Strecker aldehydes, pyrazines, and furanones were all significantly higher in cooked cheeses than in uncooked cheese, while ethyl esters (key odorants in uncooked cheese) were not detected in any of the cooked cheese. Principal component analysis demonstrated that fat concentration in mild Cheddar was positively correlated with the formation of potential odorants (the Strecker aldehydes, methanethiol, 2‐methylketones, and fatty acids) upon cooking. Potential lipid precursors for these compounds are discussed. Practical Application: This research can be used by the dairy industry to develop better cheeses, especially low‐ and reduced‐fat cheeses, for use in cooked applications such as toppings for pizzas and ready meals. Alternatively, this research describes key volatile compounds in cooked cheese that can be used by the flavoring industry to develop authentic cooked cheese flavorings. [ABSTRACT FROM AUTHOR]