The lipid molecules and volatile organic compounds (VOCs) in milk are heavily influenced by diet. However, little is known about how roughage affects the lipid and VOC contents of donkey milk. Accordingly, in the present study, donkeys were fed corn straw (G1 group), wheat hulls (G2 group), or wheat straw (G3 group), and the lipid and VOC profiles of their milk were determined using LC–MS and GC–MS. Of the 1842 lipids identified in donkey milk, 153 were found to be differential, including glycerolipids, glycerophospholipids, and sphingolipids. The G1 group showed a greater variety and content of triacyclglycerol species than the G2 and G3 groups. Of 45 VOCs, 31 were identified as differential, including nitrogen compounds, esters, and alcohols. These VOCs were significantly increased in the G2 and G3 groups, with the greatest difference being between the G1 and G2 groups. Thus, our study demonstrates that dietary roughage changes the lipid and VOC profiles of donkey milk.