Skim milk has a poor flavor due to the lack of fat. Finding ways to improve the flavor quality of skim milk has attracted the attention of more and more researchers. The purpose of this study was to create a skim milk product with good flavor by processing. Briefly, raw milk was treated by preheating at pasteurization (85 °C, 15 s) and ultra-high temperature (UHT) instantaneous sterilization (137-141 °C, 4 s). Subsequently, the sample was centrifuged to remove fat and obtain two kinds of skim milk, namely, PSM (skim milk obtained by preheating at 85 °C, 15 s) and USM (skim milk obtained by preheating at 137-141 °C, 4 s). The results showed that the intensity of the main sensory attributes (overall liking, milk aroma, etc.) and the concentrations of the key flavor compounds (2-heptanone, 2-nonanone, decanal, hexanoic acid, etc.) were significantly higher in the USM (p < 0.05) than that of the PSM and RSM (skim milk without preheating). Principal component analysis (PCA) with E-Nose (electronic nose) showed that the RSM had significant differences in the milk aroma compared with the PSM and USM. Furthermore, it was found that there were good relationships between volatile compounds and sensory attributes by partial least squares regression (PLSR) analysis. These findings provided insights into improving the flavor quality of skim milk by preheating treatment instead of any flavor additives.