Cholesterol oxidation products (COPs) are contaminants of food of animal origin. Increased levels of these compounds in the human body are associated with an increased risk of many non-communicable diseases. Dairy products are mentioned among the main sources of these compounds in the diet. The objective of this study was to evaluate the contents of cholesterol and its oxidized derivatives in eleven groups of dairy products, willingly consumed in European countries. The levels of COPs were determined by applying the GC-TOF/MS method. In the tested products, cholesterol and its oxidation derivatives, such as 7-ketocholesterol, 7α-hydroxycholesterol, 7β-hydroxycholesterol, 5,6β-epoxycholesterol and 5,6α-epoxycholesterol, were determined. The studied dairy products differed in their contents and profiles of oxysterols. The highest contents of COPs were found in cheese with internal mold (13.8 ± 2.5 mg kg−1) and Cheddar (11.7 ± 3.5 mg kg−1), while the lowest levels were detected in yoghurt (0.94 ± 0.30 mg kg−1) and kefir (0.57 ± 0.11 mg kg−1). 7-ketocholesterol and 5,6β-epoxycholesterol were the dominant oxysterols. The ratio of oxidized derivatives to total cholesterol was on average 1.7%. Our results confirmed that dairy products are an important dietary source of COPs. Their levels should be monitored in dairy products to provide the best health quality.