A Central Composite Design in conjunction with response surface methodology was used to optimize the extraction conditions of volatile compounds in caprine milk using Headspace Solid Phase Micro-Extraction (HS-SPME). Through this statistical methodology, it was possible to identify the best conditions to maximize the response variables which were 15 minutes for equilibrium time, 30 minutes for extraction time and 45 °C for extraction temperature. Using these conditions, 19 different volatile compounds were identified, with a profile that comprises compounds belonging to the following classes: carboxylic acids, alcohols, aldehydes, ketones, hydrocarbons, terpenoids and furans. Amongst these compounds, octanoic acid (caprylic acid) and decanoic acid (capric acid) can be highlighted with having larger relative areas, and they are volatile fatty acids that relate to the characteristic flavor presented in caprine milk.