Fatty acid (FA) composition is a determinant of the physiological effects of dietary oils. This study investigated the effects of vegetable oil supplementation with different FA compositions on anthropometric and biochemical parameters in obese women on a hypocaloric diet with lifestyle modifications. Seventy-five women (body mass index, BMI, 30–39.9kg/m2) were randomized based on 8-week oil supplementation into four experimental groups: the coconut oil group (CoG, n = 18), the safflower oil group (SafG, n = 19), the chia oil group (ChG, n = 19), and the soybean oil placebo group (PG, n = 19). Pre- and post-supplementation weight, anthropometric parameters, and body fat (%BF), and lean mass percentages (%LM) were evaluated, along with biochemical parameters related to lipid and glycidemic profiles. In the anthropometric evaluation, the CoG showed greater weight loss (Δ% = −8.54 ± 2.38), and reduced BMI (absolute variation, Δabs = −2.86 ± 0.79), waist circumference (Δabs = −6.61 ± 0.85), waist-to-height ratio (Δabs = −0.041 ± 0.006), conicity index (Δabs = −0.03 ± 0.016), and %BF (Δabs = −2.78 ± 0.46), but increased %LM (Δabs = 2.61 ± 1.40) (p < 0.001). Moreover, the CoG showed a higher reduction in biochemical parameters of glycemia (Δabs = −24.71 ± 8.13) and glycated hemoglobin (Δabs = −0.86 ± 0.28) (p < 0.001). The ChG showed a higher reduction in cholesterol (Δabs = −45.36 ± 0.94), low-density lipoprotein cholesterol (LDLc; Δabs = −42.53 ± 22.65), and triglycerides (Δabs = −49.74 ± 26.3), but an increase in high-density lipoprotein cholesterol (HDLc; abs = 3.73 ± 1.24, p = 0.007). Coconut oil had a more pronounced effect on abdominal adiposity and glycidic profile, whereas chia oil had a higher effect on improving the lipid profile. Indeed, supplementation with different fatty acid compositions resulted in specific responses.