The study aimed to investigate changes in morphology, structural properties, volatile organic compounds (VOCs), and interbinding mechanisms of the micro-nano particles of aroma-containing compounds (MNPs-ACCs) in roasted ducks subjected to different roasting times (0, 20, 30, 40, 50, 60 min) with varied filtration scales (centrifugation, microfiltration, and ultrafiltration). The presence of MNPs-ACCs in roasted ducks was confirmed by the Tyndall effect, scanning electron microscopy, and electronic nose. These particles showed negative charge, increased size and ζ-potential, and decreased dispersion index with roasting times. Moreover, a shift from ordered (α-helix and β-turn) to disordered conformations (β-sheet and random coil) in the MNPs-ACCs during roasting, along with increased hydrophobicity, exposing more odor-binding sites. Fluorescence spectroscopy and wide-angle X-ray results similarly validated this result. Meanwhile, thirty-six characteristic VOCs (variable importance scores ≥1), mainly aldehyde and alcohol, were identified in the MNPs-ACCs. Higher filtration intensity reduced relative aldehyde and alcohol content while increasing ester and ketone. The interaction analysis further confirmed that the MNPs-ACCs transitioned from noncovalent to covalent binding during roasting, forming more stable structures. Overall, biomolecular self-assembly during roasting generates micro-nano particles that serve as VOC carriers, providing novel insights into flavor development and retention in roasted ducks.