Many natural enemies of herbivorous arthropods can use herbivore-induced plant volatiles to locate their prey. The composition of herbivore-induced volatile blends is highly variable, e.g., for different plant or herbivore species. When this variation is predictable during the lifetime of an individual, learning is expected to be adaptive for natural enemies that use such information. Learning has indeed been demonstrated many times for parasitoid wasps that use herbivore-induced plant volatiles to locate their hosts. However, evidence for learning of plant volatiles by predatory mites and insects is scarce and this is the topic of the present paper. We first review previously published research that demonstrated that anthocorid bugs and the predatory mite Phytoseiulus persimilis have the capacity to learn. Next, we present new evidence for an effect of previous experiences of P. persimilis on its responses to mixtures of volatile blends, induced by prey or non-prey herbivores. Finally, we discuss the ecological relevance of olfactory learning by predatory arthropods and the need to address this topic in future research.