To elucidate the effects of the different terroir on wine aroma in six sub-regions of Eastern Foothills of Helan Mountain in Ningxia, a premium wine-producing region in China, 71 Cabernet Sauvignon wines were investigated by gas chromatography-mass spectrometry (GC-MS), check-all-that-apply (CATA), and quantitative descriptive analysis (QDA). The bidirectional orthogonal partial least squares-discriminant analysis (O2PLS-DA) results showed that the Cabernet Sauvignon dry red wines from Xixia (XX) and Yongning (YN) had similar volatile profiles due to their geographical proximity and were characterized by higher concentrations of esters, higher alcohols, and volatile phenols because the similar aromatic profiles were detected in their dry red wines. Shizuishan (SZS) and Hongsipu (HSP) wines showed clear differences compared to the wines of the other four sub-regions, being mainly characterized by relatively higher phenolic aldehydes and volatile phenols. The concentrations of methoxypyrazines and norisoprenoids varied mainly depending on the climate diversity of the sub-regions. The highest 3-isobutyl-2-methoxypyrazine (IBMP) concentration was presented in the Helan (HL) wines. The Qingtongxia (QTX) wines have the highest β-damascenone, which might be influenced by the fact that QTX has the lowest effective accumulated temperature and the highest sunshine duration among the five sub-regions. Esters including ethyl octanoate, ethyl decanoate, ethyl butanoate, ethyl hexanoate, and isoamyl acetate were the highest in HL. Additionally, the herbaceous, black berry, and red berry notes in HL and QTX were the most outstanding.