A novel strategy for screening and identifying peptides present in Baijiu was developed based on magnetic solid-phase extraction with magnetic S-doped graphene (M-G-S) as adsorbent combined with ultrahigh-performance liquid chromatography with high resolution tandem mass spectrometry. In total, 28 peptides consisting of amino acids from 3 to 9 were preliminarily identified, and significantly higher in the number than that of direct concentration and SPE with C as the adsorbent. Six peptides were confirmed with their corresponding synthetic reference standards by comparing their retention time, high resolution MS/MS spectra, and NMR spectroscopic studies. Parallel reaction monitoring integrated with the internal standard method was utilized to quantify identified peptides with concentrations ranging from 1.14 to 10.25 ng mL, and prediction results of bioactivity comprising antioxidation or ACE inhibitors were obtained. These discoveries were conducive to understanding the versatility benefit of Baijiu and paved the way to study the interaction between peptides and volatile substances.