Heating conditions of Pinus halepensis seed oil were monitored to evaluate the effect of thermo-oxidation processes on the bioactive compounds contained in the samples. The following parameters were monitored: ultra violet absorption at 232 and 270 nm, fatty acid composition, oxidative stability, antiradical activity and aromatic profiles. Under thermo-oxidation process, trans fatty acids (TFA) increased and conjugated linoleic acid isomers appeared. The antiradical activity significantly decreased from 73.3% to 52.5% after 120 min of heating. Oxidative stability decreased (r = −0.70). The volatile profile was heavily influenced by heating with the formation of new volatile compounds, such as the two isomers (E,Z)-2,4-decadienal and (E,E)-2,4-decadienal. α-pinene, and the main terpene compound was very vulnerable to heating conditions. Despite its peculiar pleasant aroma and nutritional value, the P. halepensis seed oil should not be used for cooking. Indeed, under frying conditions, its antioxidant properties and oxidative stability are lost and potential toxic compounds, such as TFA and unsaturated aldehydes, are formed.