Cholesterol oxidation products (COPs) are produced during thermal processing of animal origin foods and are considered to have negative health impacts. The model systems are helpful to understand the impact of various factors on oxidation changes in foods during cooking process. The study presented herein investigates the effects of pH, presence of unsaturated fatty acids, and heat on the formation of cholesterol oxidation products (COPs). Two model systems were designed to investigate the formation of cholesterol oxidation products in different lipid environments. The cholesterol oxides produced were quantified using gas chromatography. The level of cholesterol oxidation products decreased significantly at higher pH (above 5.8) and shorter heating time (3 h). The presence of unsaturated fatty acids (linoleic and oleic acids) significantly increased the amount of COPs under low-temperature heating conditions (100 °C and 1 h) but did not affect the production of COPs at higher temperature (150 °C). Increasing the temperature to 200 °C significantly increased the amount of COPs during the first hour of heating and this amount decreased upon further heating. The most frequently observed COPs in samples were α-epoxide, 20α-hydroxycholesterol, and 25-hydroxycholesterol. In conclusion, pH below 5.8, presence of unsaturated fatty acid, and high cooking temperature (>150 °C) leads to increased production of cholesterol oxidation products.