Volatiles from newly cut branches with needles of Pinus sylvestris L. were collected with headspace sampling technique, and then identified and quantified by combined gas chromatographic-mass spectrometry (GC-MS). The response of antennae of the female pine processionary moth, Thaumetopoea pityocampa, to these volatiles was recorded by coupled gas chromatographic-electroantennographic detection (GC-EAD). Surprisingly, the most common and major monoterpene hydrocarbons (MT), α-pinene, 3-carene, and β-pinene were antennally inactive. Female antennae responded strongly only to four minor MT components, myrcene, β-phellandrene, trans-β-ocimene, and terpinolene. Weaker, but repeatable responses were also found to limonene, cis-β-ocimene, and γ-terpinene. Further EAD recordings with two synthetic MT mixtures supported our findings from the natural material. When separating the two enantiomers of limonene by running different synthetic MT mixtures, the EAD response was found only to the(−)-enantiomer, but not to the opposite (+)-enantiomer. EAD-responses were also found to some less volatile compounds, such as sesquiterpenes (SqT), active at ng-levels. The sensitivity and specificity of the antenna to a select number of active host MTs and SqTs suggest that these play a role in the host selection process of T. pityocampa females.