A method for the analysis of tocopherols, sterols and triterpenoids in Moutai distiller’s grains was established using ultrasound assisted extraction (UAE) combined with gas chromatography-mass spectrometry (GC-MS). The influence of solvent type and solid-to-liquid ratio on the extraction efficiency of the target analytes was investigated. Under the optimal conditions, five tocopherols, nine sterols and four triterpenoids were identified, and seven tocopherols and sterols were quantitatively analyzed with good linearity (R² > 0.99), good stability (relative standard deviation not more than 6.40%) and high accuracy (spiked recovery between 88.9% and 102.3%). Through the traceability analysis of 18 bioactive substances in Moutai distiller’s grains, the brewing raw materials were identified as their main source.