It is an indispensable and important link to increasing the harmless treatment of oily sludge at the end of the petrochemical production stage to achieve the goal of clean production. This paper comprehensively investigates the thermal transformation behavior and the release of gaseous pollutants (VOCs, NOx, and S-containing gas) of petrochemical oily sludge. The results show that Petroleum hydrocarbons composed of C6–C35 can be effectively removed in the temperature range of 241–607 °C. It is worth noting that since low boiling point components such as benzene and toluene in the oily sludge may volatilize rapidly near the initial combustion temperature and generate toxic and harmful gases. For example, in this study, the toluene vapor signal could be observed before the initial combustion temperature and the toluene vapor signal appeared neatly around 350 °C and did not participate in the combustion reaction and the strong fluctuation of benzene vapor. Organic sulfur dominated by Sulfonate-S, Sulfoxide-S, and Aromatic-S could be released in the form of SO2 around 250 °C and 450 °C, while organic nitrogen dominated by Pyridinic-N, Protein-N, and Pyrrolic-N could be released in the form of NOx between 300 °C and 500 °C, which is mainly related to the thermal stability of sulfur-containing groups.