Salmon fillets were steamed, or pan-fried without oil, with olive oil, with corn oil, or with partially hydrogenated plant oil. The exchange between the salmon and the pan-frying oils was marginal, but it was detectable as slight modifications in the fatty acid pattern and the tocopherol contents according to the oil used. Primary and secondary oxidation products were only slightly increased or remained unchanged, which indicated a slight lipid oxidation effect due to the heating procedures applied. The same was observed for tocopherol levels, which remained almost stable and were not affected by the oxidation process. The sum of cholesterol oxidation products (COPs) increased after the heating processes from 0.9 microg/g in the raw sample to 6.0, 4.0, 4.4, 3.3, and 9.9 microg/g extracted fat in pan-fried without oil, with olive oil, corn oil, partially hydrogenated plant oil, and steamed, respectively. A highly significant correlation was found between the fatty acid pattern and the total amount of COPs (r2 = 0.973, p < 0.001). No change has been determined in the n-3 fatty acids content and in the polyunsaturated/saturated-ratio of the cooked salmon fillets. Moderate pan-frying (6 min total) and steaming (12 min) of salmon did not accelerate lipid oxidation but significantly increased the content of COPs. The highest increase of COPs was found through steaming, mainly due to the longer heat exposure. The used frying oils did not influence the outcome; no significant difference between heat treatment with or without oil has been determined.