Odorant binding proteins play a key role in the olfactory system and are involved in the odor perception and discrimination of insects. To investigate the potential physiological functions of SaveOBP9 in Sitobion avenae, fluorescence ligand binding experiments, molecular docking, RNA interference, and behavioral tests were performed. Fluorescence binding assay results showed that SaveOBP9 had broad and high (Ki < 10 μM) binding abilities with most of the wheat volatiles, but was more obvious at pH 7.4 than pH 5.0. The binding sites of SaveOBP9 to the volatiles were predicted well by three-dimensional docking structure modeling and molecular docking. Moreover, S. avenae showed a strong behavioral response with the four compounds of wheat. The reduction in mRNA transcript levels after the RNA interference significantly reduced the expression level of SaveOBP9 and induced the non-significant response of S. avenae to the tetradecane, octanal, decanal, and hexadecane. This study provides evidence that SaveOBP9 might be involved in the chemoreception of wheat volatile organic compounds and can successfully contribute in the integrated management programs of S. avenae.