The aim was to study the shelf-life over 18 months of storage (no light and oxygen exposure) of chili peppers flavoured olive oils comparing flavouring methods of co-milling of fresh chili peppers with sound olives at mill scale with temporary and permanent infusion of dried chili peppers in olive oil. Tocopherols, secoiridoids and capsaicinoids by HPLC-DAD, volatile compounds by HS-SPME-GC–MS, and sensory profiles were studied. The decrease in tocopherols and secoiridoids was greater in “infusion” samples, while a significant increase in capsaicinoids was observed in “permanent infusion” samples. The main changes were observed for sensory and volatile profiles: “infusion” samples were defective already after 2 months with significant increase of defects-relating volatile compounds, while “co-milling” samples were defects-free and characterized by nice balance among hotness/heat and pepper fruity/taste during entire storage. “Co-milling” samples showed better shelf-life (18 months) than infusion ones, and even than EVOO control samples (12 months).