Herpetospermum pedunculosum (Ser.) C. B. Clarke (Family Cucurbitaceae) is a dioecious plant and has been used as a traditional Tibetan medicine for the treatment of hepatobiliary diseases. The component, content, and difference in volatile compounds in the female and male buds of H. pedunculosum were explored by using headspace solid-phase microextraction-gas chromatography-mass spectrometry (HS-SPME-GC-MS) technology and multivariate statistical analysis. The results showed that isoamyl alcohol was the main compound in both female and male buds and its content in males was higher than that in females; 18 compounds were identified in female buds including 6 unique compounds such as (E)-4-hexenol and isoamyl acetate, and 32 compounds were identified in male buds, including 20 unique compounds such as (Z)-3-methylbutyraldehyde oxime and benzyl alcohol. (Z)-3-methylbutyraldehyde oxime and (E)-3-methylbutyraldehyde oxime were found in male buds, which only occurred in night-flowering plants. In total, 9 differential volatile compounds between female and male buds were screened out, including isoamyl alcohol, (Z)-3-methylbutanal oxime, and 1-nitropentane based on multivariate statistical analysis such as principal component analysis (PCA) and orthogonal partial least squares discrimination analysis (OPLS-DA). This is the first time to report the volatile components of H. pedunculosum, which not only find characteristic difference between female and male buds, but also point out the correlation between volatile compounds, floral odor, and plant physiology. This study enriches the basic theory of dioecious plants and has guiding significance for the production and development of H. pedunculosum germplasm resources.