To investigate the regularities and differences in oxidation products of phosphatidylcholine (PC) and phosphatidylethanolamine (PE) by gas chromatography-mass spectrometry (GC–MS), and examine the influence of variations in fatty acid compositions and head groups on the kinds and contents of volatile organic compounds (VOCs) generated. A total of 42 VOCs were identified from PE (16:0–18:2), PC (16:0–18:2), and PC (16:0–18:1), with aldehydes and ketones being the main VOCs in three phospholipids (PLs). The content of most VOCs produced by PE (16:0–18:2), PC (16:0–18:2), and PC (16:0–18:1) increases with the increase of oxidation temperature and time. Reached peak at 175 °C for 60 min. The total VOCs contents generated by PE (16:0–18:2) and PC (16:0–18:2) were higher than those produced by PC (16:0–18:1), with PC (16:0–18:2) showing the highest total VOCs contents. PLs exhibited three mass loss processes with increasing temperature, namely stability, reduction, and stabilization. PC (16:0–18:2) experienced the highest mass loss, followed by PE (16:0–18:2), while PC (16:0–18:1) showed the least mass loss. These findings showed that polyunsaturated fatty acids were more susceptible to oxidation and degradation during oxidation, and the presence of choline groups in the form of PE may enhance the oxidative stability of fatty acyl groups compared to PC.