In contrast to rapeseed oil, pumpkin seed oil has yet to be well investigated in terms of oleogelation, and, to the best of our knowledge, no study related to the use of ethylcellulose (EC) in the structuring of this oil has been identified in the current scientific literature. Therefore, the present study evaluated several oleogels formulated with EC as the oleogelator in different concentrations of 7% (OG7) and 9% (OG9), based on cold-pressed pumpkin seed oil (PO) and refined rapeseed oil (RO), as well as on mixtures of the two oils in different combinations: PO:RO (3:1) (PRO) and PO:RO (1:1) (RPO). Physicochemical properties such as visual appearance, gel formation time (GFT), oil-binding capacity (OBC), oxidative and thermal stability, and textural characteristics were analyzed. Analysis of variance (ANOVA) and Tukey’s honestly significant difference (HSD) were used in the statistical analysis of the data, with a significance level of p < 0.05. EC proved to be an effective structuring agent of the mentioned edible oils; the type of oils and the concentration of oleogelator significantly influenced the characteristics of the obtained oleogels. The 9% EC oleogels exhibited a more rigid structure, with a higher OBC and a reduced GFT. Pumpkin seed oil led to more stable oleogels, while the mixture of pumpkin seed oil with rapeseed oil caused a significant reduction in their mechanical properties and decreased the OBC. After 14 days of storage, all oleogels demonstrated proper oxidative stability within the bounds set by international regulations for edible fats, regardless of the kind of oil and EC concentration. All of the oleogels showed a higher oxidative stability than the oils utilized in their formulation; however, those prepared with cold-pressed pumpkin seed oil indicated a lower level of lipid oxidation among all oleogels. The P-OG9 and PR-OG9 oleogels, which mainly included PO and contained 9% EC, demonstrated the optimum levels of quality in texture, GFT, OBC, and oxidative stability.