This one ?

So the yellow, stinky stuff is called aloe latex and if you are going to consume aloe for the health benefits you want to first drain the aloe latex. The smell is normal (kind of a horrible body oder sort of smell). The latex is a powerful laxative and can really irritate your intestines. Unless you are very constipated than you want to get rid of it before eating it. I start by washing the aloe after cutting it. Cut off the ends and top of the aloe branch. Let it first sit at a 45 degree angel for 30-45 minutes. Then let it soak it soak in some water for another 20-45 minutes. This will help extract the aloe latex and leave the aloe gel. There are plenty of YouTube videos that show how to filet an aloe branch to get the gel out. But that stinky yellow substance you're smelling is natural (and naturally smells bad), nothing wrong with your aloe at all!

Forget what I said earlier. That looks strikingly similar to some of the Bolivian species of the H. genus

Your first photo shows a healthy looking plant with one yellow leaf in your hand. The second photo is of one yellow leaf so it would be hard to say anything other than observation from two photos. It could be stress from leaving a nursery, grown under greenhouse conditions and subjected to living in a box for a day or more, and then to a retailer, and finally the buyer. Give it time. Let it adapt to its new home. It may not be happy for a while but either it will succumb or perk up. Do NOT keep it sopping wet and do not let it totally dry out either. If you err on one side, do it on the drier side. Again, moving it outdoors for warm air, bright light, higher humidity may be the ticket to get it what it needs before winter.