Dietary lipid sources influence intramuscular fatty acid composition, which in turn may affect the volatile profile of meat. The aim of this work was to investigate the effects of marine algae supplementation (Aurantiochytrium limacinum) on volatile compounds of cooked lamb meat. Forty-eight lambs with 42 days of age were divided into three groups: lambs fed a conventional diet without algae meal supplementation (NOALG), lambs with competent reticular groove reflex (RGR) fed the same diet supplemented with 2.5% marine algae meal mixed in the concentrate (ALGCON), and lambs with competent RGR, receiving the same diet and fed with 2.5% marine algae meal in a milk replacer to bypass the rumen (ALGMILK). Lipid and protein oxidation in raw meat was assessed and volatile compounds in grilled meat were determined. The highest and lowest lipid oxidations were observed in the ALGMILK and NOALG groups, respectively. Protein oxidation was unaffected. Out of 56 identified compounds, 12 volatiles significantly increased in both algae groups and 6 of them exclusively in the ALGCON treatment. Algae meal supplementation and its form of administration, either protected or not from rumen degradation, are important factors to consider in lipid oxidation and the aromatic profile of lamb meat.