The flea-weevil Orchestes steppensis Korotyaev (Coleoptera: Curculionidae) is an Eastern Palaearctic Steppe species, and a serious pest of elm trees (Ulmus spp., Ulmaceae) by feeding on the leaves (adults) or mining them heavily (larvae) in Xinjiang, China. In order to search for chemical and ecological pest management practices, the olfactory preferences of O. steppensis for leaves of three elm species were investigated. The results revealed that O. steppensis has different host preferences for the three elm species: U. pumila L. first, followed by Ulmus laevis Pall. and Ulmus densa Litw. last. Volatile organic compounds from the leaves of the three Ulmus species were collected using dynamic headspace adsorption and analyzed through gas chromatography–mass spectrometry (GC-MS). A total of 94 volatile components in the healthy leaves and the infested leaves by O. steppensis of the three elm species were identified and analyzed, and 13 active compounds were identified using coupled gas chromatography–electroantennographic (GC-EAD) recording and GC-MS analysis. The response of O. steppensis to different concentrations of active compounds was determined using EAG, and the behavioral response to the highest EAG concentration of each active compound was determined. The results demonstrated that 3-hexen-1-ol, 3,7-dimethyl-1,3,6-Octatriene, methyl salicylate, 1-hexanol, and 3-hexen-1-ol, acetate were attractive to O. steppensis, while nonanal and 2-hexenal were repellent.