Cold-pressed pumpkin seed oil is a valuable source of bioactive molecules, including phenolic compounds. Oleogels are designed for trans and saturated fats substitution in foods, but also demonstrate protection and delivery of bioactive compounds. Consequently, the present work aimed to assess individual phenolic compounds dynamics and infrared fingerprints during the ambient storage of pumpkin seed oil and thereof oleogel. For oleogels production, a 5% ternary mixture of waxes, composed by 3% beewax, 1% sunflower wax and 1% rice bran wax, was used. Phenolic compounds were extracted by traditional liquid–liquid extraction, followed by HPLC-MS quantification. FTIR (400–4000 cm−1) was used for characterizing and monitoring the oxidative stability of all samples and for the evaluation of intermolecular forces between oleogelator mixtures and oil. Specific wavenumbers indicated oxidative processes in stored sample sets; storage time and sample clustering patterns were revealed by chemometrics. Isolariciresinol, vanillin, caffeic and syringic acids were quantified. The main changes were determined for isolariciresinol, which decreased in liquid pumpkin seed oil samples from 0.77 (T1) to 0.13 mg/100 g (T4), while for oleogel samples it decreased from 0.64 (T1) to 0.12 mg/100 g (T4). However, during the storage at room temperature, it was concluded that oleogelation technique might show potential protection of specific phenolic compounds such as syringic acid and vanillin after 8 months of storage. For isolariciresinol, higher amounts are registered in the oleogel (0.411 mg/100 g oil) than in the oil (0.37 mg/100 g oil) after 5 months of ambient temperature storage (T3). Oxidation processes occurred after 5 months storage for both oil and oleogel samples.