The influence of the most important heat treatments: cooking, microwave heating, baking, and frying (with comparison of deep-frying with pan-frying and convection baking with conventional) on the level of oxidation and fatty acids composition in lipids of African catfish was studied. After any heat treatment, the peroxide value did not exceed 5 mEq O2 kg−1 lipids and the anisidine value did not exceed 6.5, which can be considered as good lipid quality. It was found that the fillets subjected to convection baking and pan frying were characterized by lower oxidation levels and higher nutritional quality of lipids than those subjected to conventional baking and deep frying. When converted to wet weight, EPA and DHA losses after heating did not exceed 33%. However, when converted to dry mass, the losses of these acids, depending on the treatment applied, were between 3.8 and 51.8%. Better quality of lipids was found in heated fillets in which heat transfer took place by convection (cooking, baking) than by conduction (frying). It was found that depending on the applied heat treatment, 200 g portion provides about 190 (fried fillets) to 350 (convection-baked fillets) mg EPA and DHA.