Unlike other fields, the methods routinely applied for fats and oils are still tied to traditional, time- and solvent-consuming procedures, such as saponification, column chromatography and thin-layer chromatography. In this paper, microwave-assisted saponification followed by a lab-made solid-phase extraction was optimized for the characterization of either dialkyl ketones (DAK) or sterols or both simultaneously. The instrumental determination was performed by gas chromatography- flame ionization detector (GC-FID) for quantification and gas chromatography-mass spectrometry (GC-MS) for confirmation purposes. The proposed method showed good recoveries (>80%) and limit of quantification (0.04–0.07 μg/g for the 4 DAK and of 0.07 μg/g for α-cholestanol). Repeatabilities (n = 3) were below 15% for DAKs and generally lower than 6% for sterols. Accuracy on the entire sterol profile was confirmed in comparison to the International Olive Council reference method. The method was finally applied to real-world samples before and after chemical interesterification.