The clear need for marine n-3 PUFAs has brought attention to Schizochytrium sp, one of the few microorganisms approved for the production of edible oil rich in docosahexaenoic acid (DHA). The high concentrations of DHA make the oil highly susceptible to oxidation also in the gastrointestinal tract, which is a known pro-oxidant environment. In the present study, the development of volatile compounds was directly monitored during simulated digestion of Schizochytrium sp oil added to a simulated meal, with rapeseed and cod liver oils used as comparison. Volatiles were extracted during the incubation period of subsequent gastric and intestinal phases and directly analyzed with a headspace solid-phase microextraction-gas chromatography–mass spectrometry (HS-SPME-GC-MS) system. Volatile data analysis discriminated all the oils and digestion phases. Total aldehydes, total ketones, and total volatiles areas showed strong correlations with oxidation products in digesta analyzed with proton nuclear magnetic resonance spectroscopy (1H NMR). Our results proved the suitability of our approach for a more comprehensive monitoring of lipid oxidation in simulated gastrointestinal models.