The rich forage resources in the Xinjiang region have bred excellent horses and also brought abundant mare milk resources. To investigate the differences in volatile flavor substances in the mare milks from Altay, Tacheng, and Yili regions in Xinjiang, and headspace solid-phase microextraction-gas chromatography-mass spectrometry (HS-SPME-GCMS) was used to detect and analyze the volatile flavor substances in fresh mare milks and naturally fermented mare milks (mare yoghurt/koumiss) from the three regions. The results showed that 59 kinds of substances were detected in 6 samples, including 22 esters, 14 acids, 7 alcohols, 4 aldehydes, 6 ketones, 1 other, and 5 aromatic substances. The results of relative odor activity value (ROAV) calculation showed that there were 29 volatile flavor substances with ROAV ≥ 0.1, among them, ethyl caprylate, ethyl caprate, caproic acid, caprylic acid, capric acid, and styrene were the key volatile flavor substances (ROAV>1) in the 6 samples. The results of orthogonal partial least squares discriminant analysis (OPLS-DA) showed that the differences in the contents of 20 substances, such as ethyl caprylate, ethyl lactate, and acetic acid, were the main reason for the differences in flavor between fresh mare milk and Koumiss products in the three regions. This study analyzed the differences in volatile flavor substances in mare milks from the Altay, Tacheng, and Yili regions of Xinjiang, and provided a theoretical basis for improving the research and development as well as quality evaluation of mare milk products in Xinjiang.