The investigation of the thermal release properties of flavours under heating conditions is essential for their application in related products. Herein, the thermal release processes of six typical aldehyde flavours with different boiling points were evaluated via thermogravimetric-derivative thermogravimetric (TG-DTG) and differential scanning calorimetry (DSC). To further study the relative proportions of prototype evaporation and the pyrolytic products under heating conditions, we developed a temperature-controlled tube furnace combined with thermal release products capturing device to simulate the pyrolysis process of aldehyde flavours under temperature of 350°C and three atmospheres (9%, 21% oxygen and 100% nitrogen), respectively. The TG-DTG curves showed that the selected flavours exhibited different thermal weight loss processes in terms of temperature range, initial release temperature (Ti), temperature at maximum weight loss rate (Tmax) and final release temperature (Tf). The Tmax of six aldehyde flavours was located between 173.73°C and 269.12°C depending on the thermal stability. Among them, cinnamaldehyde and p-anisaldehyde possessed the lowest and highest comprehensive release index (CRI) values of 1.07 × 10−3%/(min × oC2) and 9.81 × 10−3%/(min × oC2), respectively. Meanwhile, DSC analysis showed that all aldehyde flavours exhibited different heat absorption behaviour, and the enthalpy changes ranged from 236.10 to 393.80 J/g. According to the distribution of released pyrolytic products, the selected flavours can be classified as stabilised aldehydes and significantly pyrolytic aldehydes, and the heating atmospheres exhibited an obvious effect on the thermal release behaviour of aldehyde flavours. In addition, the possible pyrolysis schemes of significantly pyrolytic aldehydes were proposed based on the molecular structure.