The aim of this paper was to compare the effects of two clarification methods, protease combined with heat treatment and bentonite, on the aroma quality of liqueur wines, and to identify and analyze the overall differences between the basic components and volatile aroma compounds of liqueur wines after the two treatments by chemical analysis, headspace–solid-phase microextraction–gas chromatography/mass spectrometry (HS-SPME-GC/MS), and orthogonal partial least squares discriminant analysis (OPLS-DA). The results showed that total acidity, volatile acidity and pH in liqueur wines after protease combined with heat treatment were not significantly different from those of the blank control, and the ability to remove proteins was equal to that of the bentonite treatment. A total of 58 volatile aroma compounds were detected by HS-SPME-GC/MS. Compared with the blank control group (44 species, total 108.705 mg/L), 52 (83.233 mg/L) and 50 (120.655 mg/L) aroma compounds were detected in the bentonite and protease combined with heat treatments, respectively. Compared with the control and bentonite treatment, the protease combined with heat treatment significantly increased the total content of aromatic compounds in liqueur wines, and the types and contents of olefins, furans and phenols were higher. Among them, the compounds with major contributions in the protease combined with heat treatment were ionone,β-damascenone, 3-methyl-1-butanol, alpha-terpineol and limonene, which helped increase the content of terpenoids and enhance the floral and fruit aroma of the wine. Meanwhile, linalool, diethyl succinate, 2-methyl-3-heptanone, butanal diethyl acetal, hexanal and n-octanol were six compounds with high content of aromatic compounds unique to liqueur wines after protease combined with heat treatment. The sensory evaluation results were consistent with the results of aromatic compound detection, and the overall quality was better. The results may provide a reference for further exploration of protease-based clarifiers suitable for liqueur wines.