Sesame seed hulls are rich in lignin. Sesame oil extracted from roasted sesame seeds has a high oxidation stability. To investigate the influence of roasting on lignin and the oxidation stability of sesame oil, the degradation products (L190, L220, and L250) and solid residues were obtained from sesame seed hull lignin heated at three temperatures (190 °C, 220 °C, and 250 °C). The results showed that roasting caused partial degradation of lignin. The degree of lignin degradation became more severe with increasing roasting temperature. This degradation leads to the production of low-molecular-weight phenolic compounds, such as vanillin and 1-(4-hydroxy-3-methoxyphenyl)butan-1-one. As the roasting temperature increased, the kinds and amounts of phenolic compounds produced increased. These compounds were high in antioxidants, the increasing of roasting temperature correlated significantly with the decrease in peroxide value (rPOV = −0.977, p < 0.05) and p-anisidine value (rp-AnV = −0.988, p < 0.05) of sesame oils with added products of lignin degradation. The products of lignin degradation inhibited sesame oil oxidation, with L250 showing the strongest ability to improve the oxidative stability of sesame oil, similar to sesamol. This study demonstrated that the thermal degradation of lignin during roasting of sesame seed hulls enhanced the oxidative stability of sesame oil.