Nowadays, the demand to find natural systems as antioxidants or additives applicable in the food industry without any manipulation or surface engineering is increasing. Accordingly, this study aimed to find a potential natural, eco-friendly, low-cost, and safe antioxidant. Therefore, saffron pollen (SP) and rutin (Ru) were chosen as two potential antioxidants, and their antioxidant activity in sunflower oil (SO) was evaluated by nonisothermal thermogravimetric analysis (TGA/DTA). tert-Butylhydroquinone (TBHQ) was used as an already-proven antioxidant and positive control. The antioxidant activity of rutin-loaded saffron pollen microcapsules was also evaluated. According to the TGA results, SP enhanced the oxidative stability of SO compared to TBHQ. In contrast, its thermal stability was significantly lower than that of TBHQ and Ru. Based on the results of the mass increase in TGA, the antioxidant effect of SP was significantly higher than Ru. These prove that SP can function as a natural antioxidant system in edible oil.