This study aimed to elucidate the effect of extraction solvents on the lipid profiles and volatile compounds in large yellow croaker roe phospholipids (LYPLs) with chloroform/methanol (CM), ethanol/ethanol (EE), and ethanol/hexane (EH). The results demonstrated that CM-extracted LYPLs exhibited the lowest oxidation levels, while EE-extracted LYPLs contained the highest polyunsaturated fatty acids (PUFAs) content. EH extraction was more effective for monounsaturated fatty acids (MUFAs) in LYPLs but was less effective for polar lipids. Across solvents, 410 lipids were identified, with phosphatidylcholine (PC) predominating in all LYPLs groups. The study detected 97 volatiles, with CM-extracted LYPLs showing notably high in pyrazines and benzenes. A total of 65 lipids and 47 volatiles distinguished the three LYPLs groups. Correlation analysis revealed a synergistic effect between PUFAs and lysophosphatidylcholine (LPC), increasing the production of volatile compounds associated with oxidation. These results offered new insights for optimizing future solvent extraction of marine phospholipids.