The effects of low and high frequency ultrasound on the production of volatile compounds along with their derivation and corresponding off-flavours in milk and milk products are discussed in this review. The review will simultaneously discuss possible mechanisms of applied ultrasound and their respective chemical and physical effects on milk components in relation to the production of volatile compounds. Ultrasound offers potential benefits in dairy applications over conventional heat treatment processes. Physical effects enhance the positive alteration of the physicochemical properties of milk proteins and fat. However, chemical effects propagated by free radical generation cause redox oxidations which in turn produce undesirable volatile compounds such as aldehydes, ketones, acids, esters, alcohols and sulphur, producing off-flavours. The extent of volatile compounds produced depends on ultrasonic processing conditions such as sonication time, temperature and frequency. Low frequency ultrasound limits free radical formation and results in few volatile compounds, while high ultrasonic frequency induces greater level of free radical formation. Furthermore, the compositional variations in terms of milk proteins and fat within the milk systems influence the production of volatile compounds. These factors could be controlled and optimized to reduce the production of undesirable volatiles, eliminate off-flavours, and promote the application of ultrasound technology in the dairy field.