The practice of using cooking oils that are heated repeatedly is common to reduce the expenses of food preparation. However, this will result in lipid peroxidation, which generates compounds that are toxic to human health. Prolonged consumption of oxidised oils may affect lipid metabolism, which generates free radicals and products that will lead to pro-inflammatory pathways. A number of cellular, animal and clinical studies have revealed the effects of oxidised oils on inflammatory responses. By-products of lipid peroxidation, including trans, trans-2,4-decadienal (2.4-De), 4-hydroxy-2-hexenals (4-HHE) and malonaldehyde (MDA) can be found significantly in samples treated with oxidised oils. Besides, the release of inflammatory biomarkers or cytokines will be induced due to the enhanced degree of oxidative stress. Inflammation has been acknowledged to be linked to increased risk of cancer. Therefore, the consumption of repeatedly heated oils, which have higher level of oxidation may potentially lead to cancer progression. The possible cancer risk induced by the dietary intake of pro-inflammatory oxidised oils, methodology considerations and limitations of studies related to cancer risk induced by pro-inflammatory oxidised oils will be discussed in this review.