The impact and relative relevance of in vitro gastrointestinal digestion, processing temperature (room temperature or 180 °C), and gelling agent (GA) (carrageenan and alginate) on the bioactive compounds and oxidation status of olive and echium oils gelled formulations with 40% lipid incorporation was assessed. In vitro digestion was not affected by the GA, with >90% lipolysis in all formulations, but was the most relevant variable, promoting oxidation (MDA) regardless of the oil type, GA or temperature applied. Tocopherols and phenolic decreased with digestion, which could be interpreted as a protective response to pro-oxidative conditions during digestion. Temperature decreased olive oil phenolics. Gelification of echium oil using alginate reduced secondary oxidation products formation in comparison with carrageenan, with oxidation degrees after digestion equivalent to those shown with olive oil. The use of alginate with olive oil resulted in the most stable formulations, although not protecting its minor bioactive compounds from thermal degradation.