Two-step high-performance liquid chromatography (HPLC) separation in combination with taste dilution analysis was used to screen the retronasal burnt aroma compounds in soy sauce aroma-type Chinese Baijiu (Chinese traditional liquor). A major retronasal burnt aroma region was purified by Sephadex LH-20 column chromatography and HPLC separation from the soy sauce aroma-type Baijiu sample. A novel retronasal burnt aroma compound was identified as 6-(2-formyl-5-methyl-1 H-pyrrol-1-yl)hexanoic acid (1) by means of high-resolution mass spectrometry and 1D/2D nuclear magnetic resonance. The retronasal burnt aroma threshold of compound 1 was determined to be 209.5 μg/L in 53% ethanol aqueous solution. Quantitative analysis showed that the concentration of compound 1 ranged from below the limit of quantitation (3.8 μg/L) to 224.2 μg/L in the Baijiu samples. Moreover, the sensory evaluation also revealed that compound 1 may contribute to the retronasal burnt aroma of the Baijiu at its subthreshold concentration by the additive effect with the recently reported retronasal burnt aroma compound 2-hydroxymethyl-3,6-diethyl-5-methylpyrazine.