Rosemary (Rosmarinus officinalis L.) extract (RE) is one of the most efficient natural antioxidants and can significantly inhibit oil oxidation during storage or heating. The present study determined the protective capacity and mechanism of RE on the thermal oxidative stability of different vegetable oils by adding RE (70% carnosic acid) to five types of vegetable oils (soybean oil, rapeseed oil, cottonseed oil, rice bran oil, and camellia oil) and measuring the physicochemical indices (fatty acid composition, tocopherol content, total phenolic content, and free radical scavenging capacity), induction period, and thermal oxidative kinetic parameters. The relationships between the antioxidant capacity and thermal stability parameters were determined. The results show that, compared with artificial antioxidants, RE significantly increased the free radical scavenging capacity, induction period, and activation energy (Ea) of thermal oxidation, decreasing the thermal oxidation reaction rate (k) of all vegetable oils, especially rice bran oil. A Spearman correlation analysis showed that the induction period (IP) and Ea showed a significant positive correlation, the combination of which effectively reflected the efficiency of antioxidants and explained the inhibition mechanism of RE towards oil thermal oxidation.