Large yellow croaker roe phospholipid (LYCRPLs) is a potential antioxidant. In this study, the inhibition of LYCRPLs on fish oil (FO) oxidation was systematically investigated by evaluating peroxide value, acid value, p-anisidine value, thiobarbituric acid value, and volatile compounds in the accelerated oxidation reaction. The results showed that LYCRPLs presented remarkable antioxidant activity and extended FO shelf-life compared with soybean phospholipids. The analysis of volatile compounds elucidated that LYCRPLs mainly inhibited the formation of aldehyde volatile compounds and thus improved the oxidative stability of FO. Moreover, LYCRPLs could effectively improve the thermal stability of FO. This research provides new insights into LYCRPLs as a promising natural antioxidant in the food industry.