Seed roasting is practiced in the mustard oil industry in some areas of the world, and can affect the physicochemical properties of the oil for further applications. This research studied the differences in oxidative stability, tocopherols, and carotenoids during heating at 160°C between oil extracted from roasted mustard seeds and that from unroasted seeds. The content of free fatty acids, polar compounds (PC), and lutein were not significantly different between the roasted and unroasted seed oils before heating. The fatty acid compositions of both oils were also similar, with high amounts of erucic, linoleic, and oleic acids, moderate amounts of linolenic and eicosenoic acids, and low amounts of palmitic and stearic acids. However, the levels of tocopherols and conjugated dienoic acids (CDA) were higher in the roasted seed oil. Heating increased the content of CDA and PC in both oils, but decreased tocopherols and lutein. The rates of increase in CDA and PC and the degradation rates of tocopherols and lutein during heating were lower in the roasted than in the unroasted seed oil. Overall, the increased thermo-oxidative stability of the mustard oil by roasting the seeds before oil extraction was highly correlated with improved heat stabilities for both tocopherols and lutein.