In the present study, the influence of heating on the evolution of oxidative indices, antioxidant activity, phenolic and volatile compounds in monovarietal extra virgin olive oils (EVOOs) obtained from Leccino, Istarska bjelica, and Buža cultivars was investigated. The samples were submitted to heating in an air oven (180 °C and 220 °C), simulating usual roasting conditions typical for Mediterranean cuisine. The decreases in the oxidative indicators, phenolic and volatile compounds were more pronounced at higher heating temperatures, underlining the temperature dependency of the oxidative degradation during heating conditions. Despite this, it must be emphasized that a significant amount of phenolic compounds and antioxidative activity remained preserved after the heating treatment. Each oil cultivar showed some specificity during the course of the thermal degradation. Hydroxytyrosol acetate among phenolic compounds and octanal, (E)-2-octenal, hexanal, 3-pentanone, and 1-penten-3-one among the volatiles were underlined as possible markers of thermal oxidation. Principal component analysis revealed that the content of volatile compounds in monovarietal EVOO samples distinguished samples primarily by the heating temperature, while the changes in the phenolic compounds were cultivar-dependent aside from being influenced by the temperature of heating.