Edible insects have recently attracted attention as an alternative sustainable protein food source. However, consumer aversion remains the major obstacle to successful implementation in the food industry due to their shape and unpleasant odor. Here, we evaluated and compared odor-active compounds from untreated Gryllus bimaculatus (UGB), hot-air dried GB at 70 °C for 10 h (AGB), freeze-dried GB (FGB), steam-heated GB at 121 °C and 14.5 psi for 15 min (SGB), and defatted GB by hexane (DFGB). Each sample was analyzed using gas chromatography-mass spectrometry (GC-MS) and gas chromatography-olfactometry (GC-O). The most volatile compounds were detected in UGB, followed by SGB, DFGB, AGB, and FGB by GC-MS analysis. In GC-O analysis, fourteen compounds were identified as cricket or cricket-related odor among twenty identified compounds. Cyclododecane had the strongest cricket-related odor found only in UGB. DFGB received the lowest total scores of intensity for cricket-related odors, while SGB received the highest scores. It seems that defatting could reduce cricket-related odors. This study may provide theoretical information for the GB odors according to the four processing methods.