Seed cakes, by-products from the cold press extraction of vegetable oils, are valuable animal feed supplements due to their high content of proteins, carbohydrates, and minerals. However, the presence of anti-nutrients, as well as the rancidification and development of aflatoxins, can impede their intended use, requiring alternative treatment and valorisation methods. Thermal treatment as a procedure for the conversion of seed cakes from walnuts, hemp, pumpkin, flax, and sunflower into valuable products or energy has been investigated in this paper. Thermogravimetry shows the particular behaviour of seed cakes, with several degradation stages at around 230–280 and 340–390 °C, before and after the typical degradation of cellulose. These are related to the volatilisation of fatty acids, which are either free or bonded as triglycerides, and with the thermal degradation of proteins. Torrefaction at 250 °C produced ~75–82 wt% solids, with high calorific values of 24–26 kJ/g and an energy yield above 90%. The liquid products have a complex composition, with most parts of the compounds partitioning between the aqueous phase (strongly dominant) and the oily one (present in traces). The structural components of seed cakes (hemicelluloses, cellulose, and lignin) produce acetic acid, hydroxy ketones, furans, and phenols. In addition to these, most compounds are nitrogen-containing aromatic compounds from the degradation of protein components, which are highly present in seed cakes.