The environmental and energy policies in most nations worldwide aim at replacing fossil fuels with renewable sources of energy. The use of wood pellets made from sawdust is rapidly increasing. Wood pellets are a refined compacted fuel with high energy density and low emissions during combustion. Sawdust and wood pellets may be stored for several months due to seasonal demand variation and wood-fuel trade. Wood contains unsaturated fatty acids susceptible to oxidation, a process commonly referred to as fats going rancid. The level of oxidation in pellets is an important parameter of pellets quality as oxidation during storage causes problems such as self-ignition of pellets stored in silos and emissions of malodorous compounds. The purpose of this work was to investigate the effect of the age of the raw material on the oxidation caused aldehyde emissions from wood pellets. Pellets were produced from Scots pine (Pinus sylvestris) sawdust that was either freshly sawn or had been stored for 4 months. The pellets were then stored in either 18 °C or in 40 °C. The formation of the aldehyde hexanal was analyzed with static headspace and gas chromatography. Pellets made from fresh sawdust were low-emitting after 80 days, whereas pellets made from aged sawdust did not reach the same low level until 190 days after production. This held true whether the pellets were stored in 18 °C or in 40 °C. The aged sawdust pellets had maximum emissions at the same time as the emissions ceased from the fresh sawdust pellets. A key conclusion is that when a low level of aldehyde emissions is required during storage, the pellets should be produced of sawdust that is freshly sawn.