The equilibrium solubility of sucrose in methyl stearate, methyl oleate and methyl laurate with or without the addition of surfactants was investigated. The side reactions, pyrolysis of the sucrose, glucose and fructose, are also discussed through studying their data of differential thermal analysis and thermal gravimetric analysis. Results show that the solubilities of sucrose in methyl esters of fatty acids range from 0.01 g/100 g to 0.21 g/100 g in a surfactant-free system with the temperature range of 40–140 °C. The addition of surfactants increased the sucrose solubility in the fatty acid esters. Under the strict anhydrous conditions, the soap concentration can be controlled at a very low level. With the increase in the temperature, sucrose began to decrease in weight at 225 ± 5 °C, glucose began to decrease in weight at 85 ± 5 °C, and fructose began to decrease in weight at 170 ± 5 °C.