Functional and nutritional compounds are increased during foxtail millet germination while bad smell is produced due to the fatty acid oxidation. To eliminate the unpleasant aroma, the origins of the volatiles must be known. A comprehensive two-dimensional gas chromatography-time-of-flight mass spectrometry showed forty-nine volatiles containing 8 ketones, 10 aldehydes, 20 alkanes, 4 alcohols, 5 alkenes, and 2 furans were tentatively identified, and they increased during the germination of the foxtail millet. To identify the origin of some volatiles, model experiments by adding 6 fatty acids to the crude enzymes of the foxtail millet was designed, and 17 volatiles could be detected. The saturated fatty acids (palmitic acid and stearic acid) had no contributions to the formation of the volatiles, whereas the unsaturated fatty acid played important roles in the formation of volatiles. Among the unsaturated fatty acids, palmitoleic acid and linoleic acid produced most aldehydes, alcohols, and ketones, while linolenic acid produced the most alkanes and alkenes. This study will be helpful for controlling the smell of germinated seeds from the raw material selection.