Interest in replacing synthetic antioxidants, namely, butylated hydroxytoluene (BHT) and butylated hydroxyanisole (BHA), with natural antioxidants is increasing. The present study examined the antioxidant activity of capsaicinoid from chili pepper in heated canola oil. The oxidation was conducted at 60, 90, 120, and 180 °C by monitoring oxygen consumption and the decrease in linoleic acid and α-linolenic acid in canola oil. At 60 °C, capsaicinoid was more effective against oxidation of canola oil compared with BHT. At higher temperatures of 90, 120, and 180 °C, capsaicinoid possessed an antioxidant activity similar to or slightly weaker that that of BHT. It was found that capsaicinoid prevented canola oil from oxidation in a dose-dependent manner. To study the structure-antioxidant relationship, it was found that the trimethylsiloxy (TMS) derivatives of capsaicinoid did not exhibit any antioxidant activity, suggesting the hydroxyl moiety was the functional group responsible for the antioxidant activity of capsaicinoid. It was concluded that capsaicinoid had the potential to be further explored as a natural antioxidant in foods, particularly spicy foods.