Antioxidants are considered to be one of the most effective ways to prevent and delay the rancidity of oils and fats, thus play an important role in the processing, packaging, and storage of oils, fats, and oleaginous foods. However, the losses of antioxidants inevitably occur while preventing the rancidity of oils and fats. In this work, the loss pathways and mechanisms of synthetic and natural antioxidants commonly used in oils, fats, and oleaginous foods systems during storage, use, and detection are critically reviewed. The discussion regarding the transformation of antioxidants or antioxidant models in various organic solvent systems is also covered as well as the fate, toxicities, and antioxidative activities of transformation products of antioxidants. At room temperature, antioxidants in oils and fats are mainly lost due to antioxidation with transformation products accumulated. Under thermal (heating and frying) condition, synthetic antioxidants are mainly lost due to volatilization, while natural antioxidants are mainly lost due to transformation. Under frying condition, adsorption also contributes to the losses of antioxidants. This review discusses some possible research directions regarding antioxidants applied in oils, fats and oleaginous foods, which is expected to benefit the use of antioxidants in food industry.