In order to cope with the shortage of non-renewable energy and the increasingly environmental pollution, sustainable vegetable oils, as competitive alternatives, have widely been held in the good graces of the researchers. Vegetable oils are suitable for a wide range of applications such as biofuels and biodiesel. However, the development of vegetable oils is limited due to the characteristics of unsatisfactory oxidation stability and poor cold-flow properties. Chemical modification is considered as an effective solution to enhance the performance. The research progress of the chemical modification methods and applications of vegetable oils in recent years are summarized in this review. Reducing the content of carbon–carbon double bonds and increasing the degree of saturation are the keys to improve the physicochemical properties of vegetable oils. The prospects for the development direction and challenges of vegetable oils are proposed. Future research may focus on the use of multifunctional catalysts to optimize reaction conditions or to introduce active groups with lubricating properties in epoxidation reactions and explore the combination of chemical and auxiliary methods.