High oleic red palm olein (HORO) is a novel oil extracted from fruits of the hybrid palm Elaeis oleifera x Elaeis guineensis. The crude oil, from which HORO is fractionated, contains higher oleic acid levels, carotenes (pro-vitamin-A), and ⍺-tocopherol (vitamin-E) compared to standard red palm oil. One major application of vegetable fats is baking. In this study, HORO and traditional red palm super olein (TRO) were used in a cookie recipe. The degradation of carotenes and ⍺-tocopherol, and physical properties of cookies were assessed under 4 temperature-time baking regimes (150 °C/180 °C for 10/15 min). Oxidative status of the oils was measured before use. Lipids were extracted from the dough and baked cookies (Folch method) for total carotenes (UV–Vis Spectroscopy) and ⍺-tocopherol (RP-HPLC) quantification. Time was the only factor affecting retention for these compounds, with ranges of 92–100% for carotenes and 93–100% for ⍺-tocopherol in HORO cookies; similar behavior was observed for TRO cookies. Slightly higher moisture, hardness, and lower browning were observed in HORO vs TRO cookies. HORO was found to be an excellent source of pro-vitamin A carotenes and vitamin E ⍺-tocopherol, this encourages its use as a fortifying ingredient with a similar performance to TRO in baking.