Walnut oil is a good highly processed product of walnut resources in China. As is well known, both the volatile flavor and the biological activity presentation of walnut oil are influenced by its raw material properties, processing methods, and storage and transportation conditions. The core is the significant changes in the internal substance composition. To some extent, the volatile flavor changes of walnut oil are important dominant indicators to evaluate its biological activity. Based on objectively evaluating the main volatile flavor characteristics of walnut oil, the composition of flavor substances in walnut oil was analyzed. Aldehydes, ketones, alcohols, heterocycles, acids, and esters are the key components that give walnut oil a unique flavor. Furthermore, the main biological activities, including anti-inflammatory, antioxidant, anti-tumor, lipid-lowering, hypoglycemic, and immune regulation of walnut oil were introduced. Additionally, the effects of factors such as walnut variety and origin, harvesting period, processing technology, and storage conditions on the flavor compounds and bioactive substances composition of walnut oil were analyzed. Finally, the internal relationship between the volatile flavor of walnut oil and the changes in its biological activity was emphasized. This relationship is not only reflected in the volatile flavor components with biological activity, but also in oxidative products, which indirectly reflect the changes in the biological activity of walnut oil. This paper aimed to analyze the scientific connotation of the correlation between nutrition and flavor of walnut oil, and provide theoretical guidance for the quality control and high-value development and utilization of walnut oil.