The aim of this study was to conduct thermal characterization of sesame seeds and oils from various geographical origins (Ethiopia, India, Nigeria, Sudan, Turkey), different method of extraction (hexane and cold-pressing), and different types of derived products (halva and tahini). Thermal characterization was investigated using differential scanning calorimetry (DSC), which showed that origin of the seeds has no influence on the melting profile of sesame oil (peak temperature and enthalpy). Method of extraction (hexane and cold-pressing) influenced the peak temperatures of the resulting oils (p ≤ 0.05). The addition of 20% of palm olein to pure sesame oil influenced the significant changes in thermodynamic parameters such as peak temperature (Tm2), which was lowered from −5.89 °C to −4.99 °C, peak half width (T1/2), elevated from 3.01 °C to 4.52 °C, and the percentage of first peak area (% peak 1) lowered from 87.9 to 73.2% (p ≤ 0.05). The PCA method enabled to distinguish authentic and adulterated sesame oils of various origins. There were no significant differences in thermal properties among the products (halva, tahini) and the authentic sesame oil (p > 0.05). The obtained results showed DSC feasibility to characterize sesame oil and sesame products in terms of authenticity.