The effects of reaction time, reactant ratio, initial reaction pH and vacuum dehydration on the conversion of glutamic acid-xylose Maillard reaction intermediate (Glu-Xyl MRI) were studied and the conversion from Glu to Glu-Xyl MRI could be increased to 75.11% by thermal reaction coupled with vacuum dehydration. Subsequently, the application of the MRI in baked foods was researched. The Glu-Xyl MRI were added into walnut cookie with different proportions, and the flavor of the walnut cookie were analyzed by GC/MS and sensory evaluation. It was found that the addition of Glu-Xyl MRI in walnut cookie could significantly increase the content of pyrazines and pyrroles in walnut cookie and enrich the baking aroma. And with the increase of the MRI addition, the total amount of volatile flavor compounds in walnut cookie increased. Combined with the results of sensory evaluation, it was finally determined that the addition of 0.3% Glu-Xyl MRI had the best enhancement effect on overall flavor walnut cookie.