Aldehydes and ketones are secondary oxidation products resulting from lipid oxidation that occurs during food processing. These small molecule compounds not only have an impact on the quality, odor and flavor of food, but also play a role in the pathogenesis of many human diseases. In this study, a HPLC-MS/MS analytical method was developed and validated for the simultaneous determination of 24 aldehydes and ketones. The coefficients of determination (R2) for all aldehydes and ketones were higher than 0.9975 at the range of 0.2–2000 ng/mL. The recoveries were in the range 71.20–108.13% with RSD < 10%. The method was tested by analyzing lipids from oysters with different thermal processing (boiling, frying, roasting and air frying) procedures; the highest concentration for saturated aldehydes and ketones while the highest content of unsaturated aldehydes in boiling treatment. Meanwhile, fatty acid oxidative decomposition was in agreement with aldehydes and ketones formation. Moreover, principal component analysis, orthogonal partial least-squares discriminant analysis and variable importance in projection value showed that lipid oxidation is positively related to the formation of a variety of aldehydes and ketones.