A novel approach for transesterification of methyl pyrrole-carboxylate with alcohols is reported. The transformation is performed with t-BuOK and a series of new pyrrole ester were obtained under the optimized conditions. The odor characteristics of the pyrrolyl esters were evaluated by GC–MS-O (gas chromatography-mass spectrometry-olfactometry). Among them, compounds of 4-isopropylbenzyl 1H-pyrrole-2-carboxylate (3d) and naphthalen-2-ylmethyl 1H-pyrrole-2-carboxylate (3 l) present nuts and almond-like aroma, respectively. The Py-GC/MS (pyrolysis–gas chromatography/mass spectrometry) approach was applied to evaluate the pyrolysis intermediates of the pyrrole esters in oxidative conditions. It clarified that 3d and 3 l occurred different degrees of pyrolysis throughout the pyrolysis temperature from 30 °C to 900 °C. In addition, the TG (thermogravimetry) and DSC (differential scanning calorimeter) approaches were applied to investigate at the thermal degradation process. They have good thermal stability under certain temperature according to the results of TG analysis.