This study aimed to investigate the release of volatile compounds in mutton shashliks (named as FxLy, x-fat cubes: 0-4; y-lean cubes: 4-0) with different fat–lean ratios before and during consumption, respectively. In total, 67 volatile compounds were identified in shashliks using gas chromatography/mass spectrometry. Aldehyde, alcohol, and ketone were the major volatile substances, accounting for more than 75% of the total volatile compounds. There were significant differences in the volatile compounds of mutton shashliks with different fat–lean ratios. With the increase of the fat content, the types and content of volatile substances released also increase. However, when the percentage of fat exceeded 50%, the number of furans and pyrazine, which were characteristic of the volatile compounds of roasted meat, was decreased. The release of volatiles during the consumption of mutton shashliks was measured using the exhaled breath test and the results showed that adding an appropriate amount of fat (<50%) helps to enrich the volatile compound components in the mouth. However, shashliks with higher fat–lean ratios (>2:2) shorten the mastication duration and weaken the breakdown of bolus particles in the consumption process, which is not conducive to the release potential of volatile substances. Therefore, setting the fat to lean ratio to 2:2 is the best choice for making mutton shashliks, as it (F2L2) can provide rich flavor substances for mutton shashliks before and during consumption.