Ten free fatty acids namely lauric acid, myristic acid, pentadecanoic acid, palmitoleic acid, palmitic acid, linoleic acid, oleic acid, stearic acid, docosanoic acid and lignoceric acid and four free sterols including ergosterol, cholesterol, campesterol and beta-sitosterol in natural (wild) Cordyceps sinensis, Cordyceps liangshanensis and Cordyceps gunnii, as well as cultured C. sinensis and Cordyceps militaris were first determined using pressurized liquid extraction (PLE), trimethylsilyl (TMS) derivatization and GC-MS analysis. The conditions such as the amount of reagent, temperature and time for TMS derivatization of analytes were optimized. Under the optimum conditions, all calibration curves showed good linearity within the tested ranges. The intra- and inter-day variations for 14 investigated compounds were less than 3.4% and 5.2%, respectively. The results showed that palmitic acid, linoleic acid, oleic acid, stearic acid and ergosterol are main components in natural and cultured Cordyceps which could be discriminated by hierarchical clustering analysis based on the contents of 14 investigated compounds or the 4 fatty acids, where the contents of palmitic acid and oleic acid in natural Cordyceps are significantly higher than those in the cultured ones.