Eight species of small Mediterranean finfish were prepared and pan-fried in virgin olive oil, according to traditional Greek culinary practices. The changes in their proximate composition, energy content, fatty acids, squalene, cholesterol, P-sitosterol, campesterol, and stigmasterol were investigated. Pan-fried fish contained more protein, total fat, monounsaturated fatty acids, energy, and cholesterol and were enriched in squalene and phytosterols than the raw samples. The results suggest that fish pan-fried in olive oil can be classified as highly nutritive in regard to its protein, major fatty acid classes, n-6/n-3 ratios, and total fat content. It provides an additional intake of squalene and phytosterols for Mediterranean people.