In this study, the effect of chemical refining on the volatile compound and fatty acid profiles of crude fish oil is evaluated. The process mainly comprises degumming, deacidification, decoloration, and deodorization. The changes in volatile compounds during the refining process are detected by headspace solid phase micro extraction (HS‐SPME) coupled with gas chromatography‐mass spectrometry (GC‐MS). Meanwhile, the fatty acid profile is determined by GC. The results showed that hexanal, nonanal, undecanal, 2‐nonanone, and 2‐undecanone are the key volatile components of fish oil, and the relative content of each compound changed significantly in each step. The proportion of polyunsaturated fatty acids (PUFAs) in the refined oil increased, while the proportion of saturated fatty acids (SFAs) reduced significantly. This study provides a theoretical basis for the improvement of sensory characteristics of fish oil via chemical refining. Practical Applications : Chemical refining is employed for improving the characteristics of crude fish oil, mainly including the volatile compound and fatty acid compositions. The result demonstrated that the refining process could affect the volatile compound and fatty acid profiles significantly, which provided the theoretical foundation for the optimization of process conditions. An NMR‐based metabolomic approach,using “one‐to‐one” OPLS‐DA models, allows to identify biomarkers of different production zones in “Bosana” Sardinian EVOO.