Coffee, one of the most consumed commodities globally, embodies a sensory experience deeply rooted in social, cultural, and hedonic contexts. The Cold Brew (CB) method, characterized by cold extraction, provides a refreshing alternative to traditional coffee. Despite its growing popularity, CB lacks defined preparation parameters and exhaustive analysis of its aromatic composition. In this study, we aimed to obtain a representative extract of CB's volatile matrix and characterize the aroma of its sensory-active compounds using advanced techniques, such as headspace solid-phase microextraction (HS-SPME) and headspace solid-phase extraction (HS-SPE), followed by gas chromatography–olfactometry–mass spectrometry (GC-O-MS). The aroma descriptors for each compound were determined using a sensory panel trained to perform olfactometry. In addition, the odorant impact was estimated by calculating the modified frequencies (%MF) to determine the most essential compounds that had the most significant impact on the aroma. Mass spectra, retention indices (RIs), and aroma descriptors allowed us to identify compounds with sensory activity. Optimization of the HS-SPME parameters resulted in the identification of 36 compounds, while HS-SPE identified 28 compounds, including complementary and similar compounds. In HS-SPME, 15 compounds exhibited sensory activity with descriptors such as floral, caramel, sweet, and almond, whereas 7 exhibited sensory activity with descriptors such as chocolate, floral, coffee, and caramel. This comprehensive approach to HS-SPME and HS-SPE aroma extraction with GC-O-MS provides an efficient methodology for characterizing the aroma profile of CB, paving the way for future research and quality standards for this innovative coffee beverage.