A promising method is proposed for combining the oxidation and cracking of vacuum gas oil. The effect of the conditions of preliminary oxidation of vacuum gas oil on the thermal stability of its components and, accordingly, the quality of the products obtained during cracking have been studied. The oxidizing mixture consists of hydrogen peroxide and formic acid taken in a molar ratio of 3 : 4. It has been shown that oxidation with the subsequent heat treatment is an effective way to destroy sulfur compounds. The patterns of transformation features of sulfur compounds in the combined process are described using thiophene, benzothiophene, and dibenzothiophene homologues as an example. Further research in this area will significantly deepen the understanding of the laws governing the transformation of sulfur-containing compounds of vacuum distillates in oxidative and thermal processes.