The combined effects of thermal processing (i.e., sterilisation treatment) and the prior frozen storage time (3 or 6 months at -18 °C) on the quality loss in canned Atlantic horse mackerel (Trachurus trachurus) were determined. Thus, the sterilisation step led to a remarkable (p < 0.05) formation in the canned fish muscle of fluorescent compounds, free fatty acids (FFAs), and trimethylamine and an increase in the L* and b* colour parameters; meanwhile, a decrease (p < 0.05) in the total ω3 FA/total ω6 FA ratio and the a* colour value were detected. The prior frozen storage period led to an increased (p < 0.05) lipid oxidation (peroxide, thiobarbituric acid reactive substance, and fluorescent compound formation) and hydrolysis (FFA formation) development and to increased L* and b* colour values in the corresponding canned samples; additionally, a lower (p < 0.05) polyene index and phospholipid content were observed in canned fish previously subjected to frozen storage. In most indices, physico-chemical changes related to quality loss were found to be higher if the previous storage period was increased. According to the marked effects of the sterilisation step and the prior frozen storage period, the optimisation of such processing conditions is recommended to maximise the quality of canned horse mackerel.