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For peanuts, roasted at 170 °C, the formation of selected glycerol-bound oxidized fatty acids (GOFAs), namely 9-oxononanoic acid (9-ONA), azelaic acid (AZA) and octanoic acid, was observed by GC-MS (EI). The content of octanoic acid as well as AZA increased with continuous roasting time (from 59 mg/kg peanut oil to 101 mg/kg peanut oil and from not detectable to 8 mg/kg peanut oil, respectively), whereas the content of 9-ONA initially decreased from 25 mg/kg peanut oil to 8 mg/kg peanut oil (20 min) and increased again up to 37 mg/kg peanut oil following roasting for 40 min. Due to its aldehyde function, 9-ONA could contribute to amino acid side chain modifications as a result of lipation, which could directly influence the functional properties of peanut proteins. Both 9-ONA and octanoic acid are potential markers of thermal processes. Furthermore, in model experiments using methyl linoleate and methyl oleate, up to 18 oxidized fatty acids could be identified as methyl esters, 9-ONA as well as octanoic acid as major components and a faster formation of GOFAs under roasting conditions (170 °C, 20 min). In addition, 9-ONA contributes to the formation of AZA and octanoic acid in both free and bound form as a result of oxidative subsequent reactions in presence of iron (III).