Soybean oil is susceptible to thermal deterioration, especially during the deep-frying process due to its high polyunsaturated fatty acids. Soybean oil has been employed to enhance the nutritional profile and thermal stability by simply blending it with other oils, including palm olein, camelia, sesame, and cashew nut oil. In particular, coconut oil is more resistant to oxidation than those oils, so adding it to soybean oil that is prone to oxidation can make the mixture more stable. Therefore, this study aims to investigate the thermal stability of soybean oil by blending it with coconut oil and evaluating the blend’s physicochemical changes during the continuous deep frying of banana chips. Refined soybean oil was blended with refined coconut oil at different ratios (% v/v), including 100:0 (A), 80:20 (B), 70:30 (C), and 60:40 (D). All the mixtures were used for continuous deep frying at a constant temperature of 180 °C. The banana chips were fried for 1 min at 5 min intervals over a total of nine batches. The findings show that changes in the physicochemical properties of the frying oils were significantly affected by the soybean oil to coconut oil ratios and the frying duration, which were analyzed using a two-way analysis of variance (p < 0.05). The alteration in free fatty acids and peroxide values were found to be the lowest in treatment C, followed by D < B < A, by using a two-way analysis of variance (p < 0.05). Conversely, the highest total oxidation value was found in treatment A, followed by B > C > D. The lightness of the oil reached the highest value in the last frying cycle in treatments B and C, followed by D and A, while the color of the fried banana chips achieved the maximum value in treatment D, followed by C < B < A. In addition, the lipid content in the fried banana chips was observed to be the lowest in treatments D and C compared to B and A. This study indicated that blending highly unsaturated soybean oil with coconut oil could enhance its thermal stability. Consequentially, a 70:30 (% v/v) ratio of soybean oil with coconut oil exhibited good thermal stability during continuous deep frying. This study provides insights into an alternative blending technique for soybean and coconut oils to improve the thermal stability of frying oil during continuous deep frying.