A well-tailored method for the fingerprinting analysis of volatile compounds in wines has been developed. Based on the complete hydrate formation between sample solvent and anhydrous salt, an in situ desiccated sampling of volatile compounds into GC-MS was achieved, which can be directly applied to the aqueous wine sample without any pretreatment. By this means, the volatile compounds in 17 wine samples have been successfully detected. To explore the common features underlying the fingerprinting differences in volatile compounds between red and white wines, PCA and PLS-DA were successively performed on 18 peaks and 10 peaks of volatile compounds in the wine samples, and good clustering was obtained for the classification of the two kinds of wines. The results showed that five characteristic components, i.e., 2-hydroxy-propanoic acid ethyl ester, butanedioic acid monomethyl ester, 4-oxo-pentanoic acid ethyl ester, 1-dodecene, and 1,2,3-trimethoxy-5-methyl-benzene, were found to be quite different in their contents between red and white wines among the other volatiles, which, to some extent, may take responsibility for the differences in their volatile aroma. This work will provide a useful tool and valuable guidance for elucidating the chemical fingerprinting differences in organoleptic quality among different wines.