The aim of the present work was to study the formation of volatile compounds derived from frozen anchoita. In order to evaluate these modifications, anchoita were submitted to 120 days of frozen storage at –20°C. The anchoita were kept frozen until analysis. The peroxide value and the thiobarbituric acid-reactive substances (TBARS) index of fish muscle were determined. The volatile compounds were separated and tentatively identified by mass spectrometry (HS-SPME-GC-MS). Several alcohols (1-butanol, 2-cis-peten-1-ol, 1-peten-3-ol, 1-hexanol, 2-ethyl-hexanol, 1-octen-3-ol) and aldehydes (butanal, hexanal, heptanal, octanal, nonanal) were identified as potential markers for anchoita until storage.