Volatile aldehydes (VAs) formed during soybean oil (SBO) heating, wheat dough (WD) frying, and chicken breast meat (CBM) frying processes were comparatively investigated by solid-phase micro-extraction-gas chromatography–mass spectrometry (SPME-GC-MS). The results showed that relative amounts (RAs) of the most detected VAs were firstly increased to maximum values in oil samples collected at the second hour of the seventh day and the values were then decreased with the increase in the time of oil heating process (control). However, for food frying processes, the time needed for reaching maximum RAs of VAs was shorter and the values were decreased with the increase in frying time. Significant change in contents of the VAs was observed for oil samples fried with CBM due to the high contents of water, protein, and lipid content compared to oil samples fried with WD. Based on the obtained results, free radical reaction, particularly positional isomerization and cis-trans isomerization, was deduced to occur when WD or CBM was fried in SBO. The relatively high RAs of VAs formed during the deep-fat frying process presented certain invaluable measures for evaluating of frying oil and fried food quality and safety.