The present study evaluated the physicochemical parameters, polyphenolics content, levels of heat-induced compounds (acrylamide, furfural, 5-hydroxymethylfurfural), antioxidant properties, as well as sensory quality of shortbread cookies enriched with dried sea buckthorn fruit (SBF). The SBF-enriched cookies were prepared by replacing 1, 2, 3, or 5% of the flour with dried sea buckthorn fruit. Our results showed the presence of 12 phenolic acids and 5 flavonoids in the SBF, while two phenolic acids and two flavonoids were detected in the cookies. Most of the compounds were identified in the cookies enriched with 5% SBF. Among the phenolic acids, benzoic acid was the most abundant, while among the flavonoids, quercetin was the most abundant. 5-hydroxymethylofurfural was not detected in any cookies, and the addition of SBF contributed to the presence of furfural in baked products and increased the amount of acrylamide, and their content increased with the amount of SBF addition. The addition of sea buckthorn fruit at 5% distinctly exceeded the benchmark level of acrylamide in the cookies and worsened their sensory quality. It should also be noted that SBF significantly (p < 0.05) improved the antioxidant potential determined by two tests, ABTS and DPPH. The SBF-enriched cookies were characterized by significantly higher values of crispness and browning index compared to the control cookies. The results of the study indicate that SBF can be successfully used as a component of bakery products. In conclusion, the cookies with SBF can show improved technological and functional properties and constitute an added value bakery product that could provide health benefits.