In recent years, the consumers’ demand for healthy foods has been increased. To address the dietary related diseases, the food products enriched with mushroom or colored rice were promoted. The effects of Tricholoma matsutake powder and colored rice flour on baking quality and volatile aroma compound of cookies were investigated. Texture analyzer, and electronic nose (e-nose) were used to analyze the physicochemical, structural, and digestibility properties and volatile aroma compound of cookie. With the content of Tricholoma matsutake powder and colored rice flour increased, the hardness and free amino acid content increased. Cookie in terms of weaker network structure, relatively crispy cookie texture, and better in vitro digestion activity was obtained with appropriate amount replacement. The cookie sample contained with 5% Tricholoma matsutake and 20% red rice exhibited acceptable hardness and lowest starch hydrolysis rate. The volatile aroma compounds were also affected by the wheat flour substitution. The results indicated that Tricholoma matsutake powder and colored rice flour substitution improved the baking quality of cookie.