Each cheese type has a unique flavor. A variety of compounds of various concentrations and different chemical classes contribute to this flavor. In the present study, the effect of processing techniques (ultrasonication (US), high pressure processing (HPP), microwave (MW)) on the flavors and sensory properties of milk and cheese was investigated. Samples of treated and untreated milk and cheese were analyzed for volatile compounds (including aldehydes, ketones, alcohols, fatty acids, and hydrocarbons). Significant variation was observed, and the results of sensory evaluation showed that cheese prepared from HPP and US-1 (21 J/g) secured higher sensory scores when compared to cheese prepared from US-2 (41 J/g), MW treatment, and the control. Variations in volatile profiles of milk and cheese were also evident according to the treatment process i.e., dodecanoic acid, octanoic acid, heptanoic acid, and nonanoic acid. Valeric acid was present only in US-1- (21 J/g) and US-2- (41 J/g) treated cheese, which is responsible for burnt and metallic flavors in milk and cheese. Butanoic acid, heptanal, heptanone, and butanediol were present in HPP, while ethyl butanoate, decanone, and 2,3-butanedione were present in microwave-treated milk. In a nutshell, the results of volatile compounds and sensory scores of cheeses are analogous, which shows that ultrasonication with high power output has some drawback because of the burnt and metallic flavor.