Large yellow croaker roe phospholipids (LYCPLs) have various functions and high nutritional value, which are expected to be functional foods ingredients. The aim of this study is to investigate the oxidative stability of LYCPLs at different temperatures (100 °C, 140 °C and 180 °C) in terms of peroxide value (POV), thiobarbituric acid-reactive substances value (TBARS), acid value (AV) and fatty acids compositions of phospholipids. The volatile compounds were also identified and analyzed via headspace solid-phase microextraction-gas chromatography-mass spectroscopy (HS-SPME-GC-MS) and headspace gas chromatography-ion mobility spectrometry (HS-GC-IMS). The results showed that the highest POV was 192.92, 133.70 and 121.25 meq/kg at 100 °C, 140 °C and 180 °C within 10-20 min, respectively, then fell along with the increment of heating time, while the highest TBARS was 6.38, 7.66 and 8.19 mg/kg at 30 min, respectively. The AV was increased, but monounsaturated fatty acid and polyunsaturated fatty acid content were decreased with the increment of temperatures. A total of 94 volatile compounds were identified, and the content of alkanes, aldehydes, and heterocyclic compounds were reasonably increased, while the aromatic compound and amide compound content were decreased when LYCPLs heated at 180 °C. The present research improves the comprehensive understanding of oxidative stability of marine phospholipids.