In this study, the formation of two toxic reactive aldehydes, 4-hydroxy-2-hexenal (HHE) and 4-hydroxy-2-nonenal (HNE), was investigated during frying of two different foodstuffs at 180 °C for 7 h in three different vegetable oils. The results showed that HHE and HNE content in the oil after frying was lower than that in the oil fried without foods. It was mainly because of the incorporation of HHE/HNE into the fried foods. In French Fries (FF), the HNE content was higher, whereas it was lower in the fried chicken breast meat (FCBM). The bidirectional model systems consisting of the model oil frying system and the model food frying system were used. The result of the model oil system showed that the content of HNE was higher in FF for the higher hydrophobic property than that in HHE, which would be preferably bounded into the hydrophobic helical structures, whereas the lower content of HNE was observed in FCBM due to its higher reactivity towards the nucleophilic group, namely, the protein in FCBM. Furthermore, the model food frying system including starch and protein extracted from the corresponding foodstuffs verified the results in the model oil system. Finally, the probable migration mechanism of HHE and HNE in different food matrices was proposed for the first time.