The formation of two toxic aldehydes, 4‐hydroxyhexenal (HHE) and 4‐hydroxynonenal (HNE) were monitored in five vegetable oils during thermal processing (100–200 °C) with the results modelled. HHE was only determined in rapeseed and linseed oil, while HNE was determined in all tested oils and the contents varied significantly depending on the oil type. For HHE/HNE‐detected oils, the evolution during heating was well described by the pseudo‐first‐order kinetic model. The equilibrium contents of HHE/HNE increased and the duration until equilibrium decreased as a function of temperature. The calculated reaction rate constants followed the Arrhenius law. The formation rate of HHE/HNE was remarkably oil‐dependent, which was also in accordance with the calculated kinetic and thermodynamic parameters. Accordingly, the above results can contribute to a prediction of HHE/HNE formation in different vegetable oils during thermal processing, especially the temperature/time required during frying, which is generally higher than 100 °C and 6 h., respectively.