Homeowners, small fruit growers, and wine makers are concerned with noxious compounds released by multicolored Asian ladybird beetles (Harmonia axyridis, Coleoptera: Coccinellidae). A new method based on headspace solid-phase microextraction (HS-SPME) coupled with multidimensional gas chromatography–mass spectrometry–olfactometry (MDGC–MS–O) system was developed for extraction, isolation and simultaneous identification of compounds responsible for the characteristic odor of live H. axyridis. Four methoxypyrazines (MPs) were identified in headspace volatiles of live H. axyridis as those responsible for the characteristic odor: 2,5-dimethyl-3-methoxypyrazine (DMMP), 2-isopropyl-3-methoxypyrazine (IPMP), 2-sec-butyl-3-methoxypyrazine (SBMP), and 2-isobutyl-3-methoxypyrazine (IBMP). To the best of our knowledge this is the first report of H. axyridis releasing DMMP and the first report of this compound being a component of the H. axyridis characteristic odor. Besides the MPs, 34 additional compounds were also identified. Quantification of three MPs (IPMP, SBMP and IBMP) emitted from live H. axyridis were performed using external calibration with HS-SPME and direct injections. A linear relationship (R2 > 0.9951 for all 3 MPs) between MS response and concentration of a standard was observed over a concentration range from 0.1 ng L−1 to 0.05 μg L−1 for HS-SPME–GC–MS. The method detection limits (MDL) based on multidimensional GC–MS with narrow heart-cut approach for three MPs were estimated to be between 0.020 and 0.022 ng L−1. This represents a 38.9–52.4% improvement in sensitivity compared to GC–MS with full heart-cut method. This methodology is applicable for in vivo determination of odor-causing chemicals associated with emissions of volatiles from insects.