Dastarcus helophoroides (Fairmaire) (Coleoptera: Bothrideridae) is an ectoparasitoid of the pine sawyer beetle, Monochamus alternatus Hope (Coleoptera: Cerambycidae). A sensitive and precise olfactory system is required for the accurate location of the coleopteran host by D. helophoroides neonates. Herein, we characterized the relative expression patterns of six representative olfactory-related genes at different stages of M. alternatus parasitism and in different body regions of D. helophoroides neonates. The genes encoding chemosensory protein 2 (DhelCSP2), odorant receptor 2 (DhelOR2), and ionotropic receptor 2 (DhelIR2) were significantly upregulated before parasitization was initiated, whereas the genes encoding odorant binding protein 8 (DhelOBP8), gustatory receptor 5 (DhelGR5), and sensory neuron membrane protein 1 (DhelSNMP1) were significantly upregulated 4–5 d after initiation of parasitism. In D. helophoroides neonates, four genes (DhelOBP8, DhelCSP2, DhelOR2, and DhelIR2) were significantly upregulated in the head compared with the thoracoabdominal region, and one gene (DhelGR5) was significantly upregulated in the thoracoabdominal area compared with the head. Double-stranded RNAs (dsRNAs) targeting the six olfactory-related genes were synthesized and delivered to D. helophoroides neonates via immersion. After dsRNA treatment, the transcript levels of four olfactory-related genes (DhelOBP8, DhelCSP2, DhelOR2, and DhelSNMP1) were significantly reduced compared with that of the controls. These results provide a basis for further functional explorations of D. helophoroides olfactory genes, which may lead to the development of improved biological pest control methods using D. helophoroides larvae.