Virgin olive oil was thermally oxidized by heating in a conventional oven. Volatiles produced during this process were isolated either by dynamic headspace-thermal desorption (DHS-TD) with Tenax-TA trapping material, or solid phase micro-extraction (SPME) with nonpolar polydimethysiloxane (PDMS) and polydimethysiloxane-divinylbenzene (PDMS/DVB) fibres. Volatiles collected in the former case were isolated by using gas chromatography (GC) and characterized by an ion trap mass spectrometer, while those extracted by SPME were isolated by GC and characterized by the use of a time-of-flight-mass spectrometer (TOFMS). More compounds were isolated by DHS-TD compared to SPME which is, however, a quick process that can be even faster when combined with the high speed chromatography equipment of TOFMS. Fifty-eight compounds were isolated from olive oil samples using the PDMS/DVB bi-polar fibres and 39 using the nonpolar PDMS. A quick descriptive analysis of oxidized olive oil is best obtained by using the SPME technique with a PDMS/DVB bi-polar fibre.