Chicken fat, due to its rich fatty acids (FAs), is more prone to lipid oxidation and the production of volatile compounds. The aim of the present study was to investigate the oxidative characteristics and flavor changes of saturated (SFF) and unsaturated fat fractions (USFF) from chicken fat induced by heating (140 °C at 70 rpm min⁻¹ for 1 h and 2 h: SFF1, USFF1, SFF2 and USFF2). The FAs and volatile compounds were analyzed by gas chromatography-mass spectrometry (GC-MS) and two-dimensional gas chromatography time of flight mass spectrometry (GC × GC-ToFMS), respectively. The results showed that higher contents of unsaturated fatty acids (UFAs) were found in USFF compared to that in SFF, whereas USFF showed lower levels of saturated fatty acids (SFAs). With the extension of heating time, the SFA/UFA ratio in USFF and SFF significantly increased (p < 0.05), and more aldehydes, alcohols, ketones, and lactones were formed. Moreover, the odor activity values of 23 important compounds in USFF1–2 were significantly higher (p < 0.05) than those in SFF1–2. As revealed by principal component analysis (PCA) and cluster analysis (CA), it was obviously observed that all samples were divided into four clusters (USFF–SFF, USFF1–SFF1, USFF2, and SFF2). According to correlation analysis between FAs and volatile compounds, C18:2 ω6, C18:3 ω6 and C18:3 ω3 were significantly associated with dodecanal, (Z)-3-hexenal, (E)-2-decenal, 2-undecenal, (E)-2-dodecenal, (E,E)-2,4-nonadienal, (E,E)-2,4-decadienal, 2-decanone, γ-octalactone and γ-nonalactone. Our data elucidated that fat fractions from chicken fat with varying degrees of saturation could impart different flavor characteristics during a thermal process.