An investigation on fatty acid, triacylglycerol, tocopherol, and xanthophyll contents and thermal properties of pecan (Carya illinoinensis) kernel oils from two cultivars was carried out. The main fatty acids were oleic acid, followed by linoleic and palmitic acids. The predominant triacylglycerols were OOL, OOO, and OLL (where O stands for oleoyl and L for linoleoyl). Pecan kernel oil is a rich source of tocopherols, mainly γ-tocopherol. Two xanthophylls (lutein and zeaxanthin) were investigated, and lutein was found to be the major one. Thermal behavior was studied by differential scanning calorimetry (DSC). Pecan nut oil displayed melting and crystallization transitions at low-temperature zones. The difference between DSC parameter values provides a path for distinguishing among cultivars. These data promote pecan kernel oil as a potential source of bioactive compounds with nutraceutical properties (monounsaturated fatty acids, tocopherols, and xanthophylls) and reveal, for the first time, the thermal properties of Carya illinoinensis oil.