An efficient and effective multiple headspace-solid phase microextraction-arrow-gas chromatography-mass spectrometry (MHS-SPME-arrow-GCMS) analytical protocol is established and used to quantify the flavor compounds in oils. SPME conditions, such as fiber coating, pre-incubation temperature, extraction temperature, and time were studied. The feasibility was compared between SPME-arrow and the traditional fiber by loading different sample amounts. It was found that the SPME-arrow was more suitable for the MHS-SPME. The limit of detection (LODs) and limit of quantitation (LOQs) of pyrazines were in the range of 2–60 ng and 6–180 ng/g oil, respectively. The relative standard deviation (RSD) of both intra- and inter-day were lower than 16%. The mean recoveries for spiked pyrazines in rapeseed oil were in the range of 91.6–109.2%. Furthermore, this newly established method of MHS-SPME-arrow was compared with stable isotopes dilution analysis (SIDA) by using [²H₆]-2-methyl-pyrazine. The results are comparable and indicate this method can be used for edible oil flavor analysis.