Sauce-aroma Baijiu is produced through a one-year cyclic process involving multiple fermentations and distillations. However, the dynamic changes and correlations among fermented grains (FG), distilled fermented grains (DG), heart liquor (HL) and tail liquor (TL) remain unclear. In this study, the physicochemical indicators and volatile compounds (VCs) from the 3rd to 6th distillation rounds were systematically analyzed. Across successive rounds, FG and DG exhibited similar trends in key physicochemical indicators, as did HL and TL. Headspace solid-phase microextraction coupled with gas chromatography–mass spectrometry (HS-SPME/GC-MS) identified 76, 73, 80 and 93 VCs in FG, DG, HL and TL, respectively. Multivariate statistical analyses revealed significant inter-round differences in volatile profiles, and further indicated that total acids and water contents in FG were positively correlated with the majority of VCs in liquor. These results clarify the dynamic change of physicochemical and flavor components during Baijiu production and provide a basis for quality evaluation.