The aim of this study was to investigate the most important oxidation products of α-tocotrienol (α-T3) along with other tocochromanols in lipid matrices and tocotrienol-rich foods. For this purpose, an efficient molecular distillation procedure was developed for the extraction of analytes, and α-T3-spiked and thermally oxidized natural lipids (lard and wheat germ oil) and α-T3-rich foods (wholemeal rye bread and oil from dried brewer’s spent grain) were investigated through HPLC-DAD-F. The following α-T3 oxidation products were extractable from lipid matrices along with tocochromanols: α-tocotrienolquinone (α-T3Q), α-tocotrienolquinone-4a,5-epoxide (α-T3Q-4a,5-E), α-tocotrienolquinone-7,8-epoxide (α-T3Q-7,8-E), 7-formyl-β-tocotrienol (7-FβT3), and 5-formyl-γ-tocotrienol (5-FγT3). Recovery rates were as high as 88% and enrichment factors up to 124. The proposed method allows the investigation of α-T3Q, α-T3Q-4a,5-E, α-T3Q-7,8-E, 7-FβT3, and 5-FγT3 in small quantities (<0.78 μg/g) in lipid matrices, which is necessary for the investigation and analysis of the formation kinetics of these oxidation products in fat, oils, and tocotrienol-rich foods.