Grass carp fillets were susceptible to unpleasant fishiness during cold storage. To clarify the mechanism of fishy odor formation and achieve targeted regulation, volatile compounds, and lipid oxidation were investigated in grass carp fillets during cold storage (0‒7 days). The lipid oxidation degree increased continually during cold storage, as evidenced by the change of acid value, peroxide value, thiobarbituric acid-reactive substances, and hydro-peroxide. The activities of related enzymes (lipoxygenases, lipases, phospholipases A2, and hydroperoxide lyases) maintained a high level, reaching their maximums after 3‒5 days. Free fatty acids exhibited a great downtrend, especially linoleic acid (18:2) and arachidonic acid (20:4). A total of 45 volatile compounds were identified by solvent-assisted flavor evaporation-gas chromatography-mass spectrometer, and the total contents of volatile compounds increased from 706.55 μg/kg (0 day) to 1370.65 µg/kg (7 days). (Z)-4-Heptenal, (E,E)-2,4-hexadienal, 1-penten-3-ol, nonanal, and (E)-2-heptenal were the key volatile compounds. The Pearson correlation showed a strong correlation between 47 differentially abundant lipids (variables important in projection > 1, P < 0.05, and fold change > 2) and volatile compounds. During cold storage, lyso-phosphatidylcholine (20:4) and lyso-phosphatidylcholine (18:2) were selected as the main precursors of volatile compounds’ formation in grass carp fillets.