In this study, Pelvetia canaliculata L. macroalga, collected from the Atlantic Portuguese coast, was used as a source of bioactive compounds, mostly antioxidants, to incorporate them in sunflower oil with the aim of increasing its biological value and oxidative stability. The lyophilized alga was added to the oil, and ultrasound-assisted extraction (UAE) was performed. Algae concentration and UAE time varied following a central composite rotatable design (CCRD) to optimize extraction conditions. The following parameters were analyzed in the oils: oxidation products, acidity, color, chlorophyll pigments, carotenoids, flavonoids, total phenolic content, antioxidant activity by DPPH (2,2-diphenyl-1-picrylhydrazyl) and FRAP (ferric reducing antioxidant power) assays, and sensory analysis. Extraction conditions did not affect the acidity and the amount of oxidation products in the oil. Chlorophylls and carotenoid contents increased with algae concentration, while flavonoid extraction did not depend on algae content or UAE time. Total phenolics in the oil were highly related only to FRAP antioxidant activity. Storage experiments of supplemented oil (12.5% algae; 20 min UAE) were carried out under accelerated oxidation conditions at 60 °C/12 days. Antioxidant activity (FRAP) of supplemented oil was 6-fold higher than the value of non-supplemented oil. Final samples retained 40% of their initial antioxidant activity. The presence of algae extracts contributed to the increased oxidative stability of sunflower oil.