Mutton is one of the most popular meats among the public due to its high nutritional value. In this study, we compared and analyzed the nutritional composition and volatile flavor substances in longissimus dorsi (LD), psoas major (PM), and biceps femoris (BF) of the Chaka sheep, and then analyzed the lipid composition using the technique of UHPLC-Q-Exactive Orbitrap MS/MS. Our results indicated that the LD had the highest crude protein content (22.63%), the highest levels of aspartic acid (5.72%) and histidine (2.76%), the BF had the highest contents of glycine (3.40%) and proline (2.88%), the PM had the highest abundance of ω-6 polyunsaturated fatty acids (7.06%), linoleic acid (C18:2n6c; 5.03%), and volatile flavor compounds (alcohols, ketones, and esters). Moreover, our study detected 2,639 lipid molecules classified into 42 classes, among which phospholipids were the major lipids, accounting for nearly half of the total lipids. Among them, phosphatidylethanolamine (PE; 18:2/18:2) and phosphatidylcholine (PC; 25:0/11:3) were the characteristic lipids in LD. Phosphatidylserine (PS; 20:3e/20:4), lysophosphatidylcholine (LPC; 18:3), PE (8:1e/12:3), triacylglycerol (TG; 18:0e/16:0/18:1), TG (18:0/18:0/18:0), TG (18:0e/18:0/18:1), and TG (18:0e/18:1/18:1) were marker lipids in PM. LPC (16:0), LPC (18:1), lysophosphatidylethanolamine (18:1), PC (15:0/22:6), PE (18:1/18:1), Hex1Cer (d24:1/18:1), and PC (10:0e/6:0) were representative lipids in BF. Intermolecular correlations between PC, PE, Hex1Cer, PS, TG, diacylglycerol, and cardiolipid were revealed by correlation analysis. In conclusion, this study provided the interpretation of the specific nutritional indicators and lipid profile in the tripartite muscle of Chaka sheep, which can be used as a guidance for future research on the nutritional qualities and economic benefits of mutton.