Solid-phase microtraction (SPEM) combined with gas chromatography-mass spectrometry (GC-MS) was employed to analyze the flavor compounds of set-type coconut yogurt. The organic acids were analyzed by high performance liquid chromatography. The quality of coconut yogurt was evaluated by texture analyzer, sensory analysis and physic-chemical analysis. Results showed that the flavor components of coconut milk increased after lactic acid fermentation, the contents of esters and acids in the coconut yogurt decreased by 7.38% and 6.88%, the contents of alchols, terpenes, ketones and alkanes increased by 8.14%, 0.81%, 5.21% and 0.13%, respectively. The content of lactic acid in coconut yogurt increased to 11.3 g/L. The texture parameters of hardness, viscosity, cohesion and chewiness in coconut yogurt were 2.15 N, 13.13 N·s, 0.317 and 0.57 N, respectively. The coconut yogurt had the solid content of 14.8 °Brix, the acidity of 80.47 g/L with pH 4.22, and water holding capacity of 92.52%. In general, the coconut yogurt set well and showed typical coconut flavor and fermentation aroma.