Milk thistle seed oil has been authorized as a new food resource in the food field in China. However, limited information is available on the constituents and properties of milk thistle seed oil. This work compared the lipid composition, nutraceuticals content, antioxidant activity, and thermal properties of the oils extracted with different methods (using hexane/ethanol or by cold press) from Chinese milk thistle seed. The results show that extraction method has no significantly effect on the fatty acid and triacylglycerol profile. The predominant fatty acids are linoleic (45.83–46.41%) and oleic (30.12–30.59%), while the most abundant triacylglycerol is oleic-linoleic-linoleic (OLL, ~20–21%), followed by linoleic-linoleic-linoleic (LLL, ~18%), palmitic-oleic-linoleic (POL, ~15%) and palmitic-linoleic-linoleic (PLL, ~11%). In contrast, the minor component content and antioxidant activity of the milk thistle seed oil depends on the method adopted. The ethanol-extracted oil had less total vitamin E and sterol, but more tocotrienols and stronger free radical scavenging capacity. In addition, the cold-pressed oil presented a more complex melting profile than solvent-extracted oil. The data were useful for quality identification and industrial production of milk thistle seed oil.