The potential use of vegetable oil derived industrial oils continues to be of great interest because vegetable oils are relatively non-toxic, bio-degradable, and a sustainably produced basestock alternative to petroleum oil, a non-renewable basestock. For the conservation of the environment, bio-mass materials, such as vegetable oils, are desirable as substitutes for petroleum oil in heat treatment. Therefore, it is expected that these basestock materials will continue to be of increasing interest in the heat treatment industry. However, the fatty ester components containing conjugated double bonds of the triglyceride structure of vegetable oils typically produce considerably poorer thermal oxidative stability than that achievable with petroleum base-stocks under typical use conditions. This is especially true when a vegetable oil is held in an open tank with agitation and exposure to air at elevated temperatures for extended periods of time (months or years). Furthermore, when used as quenchants, furnace loads of hot steel (850 °C) are typically rapidly immersed and cooled to approximately 50 °C to 60 °C bath temperatures for steel hardening applications. Clearly, for this application, reasonable thermal-oxidative stability is essential. This paper reviews the work completed thus far in screening various vegetable oils as potential steel quenchants both with and without antioxidants. Particular focus is placed, where possible, on comparing pressure differential scanning calorimetry as a potential screening method with the more commonly used (for this application) modified Indiana Stirring Oxidation Test. In addition, the general impact of oxidation on the quenching performance of the better vegetable oil candidates is shown.