Coconut water is a tropical beverage with a distinctive odor and flavor that has until now not been adequately characterized. In the present paper, the volatile compound composition of coconut water was investigated using head space solid-phase microextraction-gas chromatography-mass spectrometry (HS-SPME-GC-MS). Analyses were made of fresh untreated (FU) samples and samples pasteurized using two different technologies: conventional thermal treatment (thermal pasteurization (TP)) and high-pressure carbon dioxide (HPCD) pasteurization, which has recently attracted great interest as an innovative nonthermal preservation treatment. Seventy-three volatile compounds were identified; 27 of them reported for the first time in coconut water. The results showed that HPCD treatment depletes short- and medium-chain alcohols, while TP treatment triggers an increase in aldehydes, ketones, and 2-acetyl-1-pyrroline, an aroma compound active at low odor thresholds and characterized by “popcorn” and “toasted” odor descriptors. Sensory discrimination analysis (triangle test) showed there to be no significant differences between HPCD and FU samples, while TP and FU samples were perceived significantly differently. Descriptive sensory analyses evidenced more intense “cooked,” “toasted bread,” and “hazelnut” characteristics in TP-treated coconut water, consistent with HS-SPME-GC-MS data. In conclusion, instrumentally measurable changes in volatile compounds were more moderate with HPCD than with TP treatment and were not sensorially perceivable compared with the FU product.