The effects of boiling, roasting, microwave heating, and frying in soybean oil, peanut oil, or sunflower oil on lipid oxidation and the volatile compound profile of pork were evaluated. The obtained results indicate that cooking may promote lipid oxidation in pork, and all the investigated cooking methods increased peroxide value (POV) and 2-thiobarbituric acid (TBA) value of pork. The pork samples treated with different cooking methods showed significant differences (P < 0.05) in the degree of lipid oxidation; the highest degree of lipid oxidation was found after roasting, followed by microwave heating, boiling, and frying. Gas chromatography-mass spectrometry (GC-MS) analyses identified 68 volatile compounds in cooked pork, mainly aldehydes, aliphatic hydrocarbons, alcohols, ketones, and esters, and the contents of total volatile compounds ranged from 221.09 (pork fried in soybean oil) to 1084.61 (boiled pork) AU×106/g. The major volatile compounds were aldehydes, ranging from 73.78% (pork fried in sunflower oil) to 78.79% (roasted pork). Hexanal was determined to be the most abundant compound. TBA value correlated significantly with aldehydes, alcohols, and total volatile compounds (P < 0.05), while the correlation between volatile compounds and POV value was not significant (P > 0.05). Principal component analysis (PCA) can effectively distinguish pork samples cooked with different cooking methods.