Walnut oils are of important academic and economic value, and are becoming one of the most important woody oils. Accurate and moderate refining techniques are required to produce high‐quality walnut oils. In this work, walnut oils obtained from cold processing were refined in three typical techniques, mainly chemical refining, water degumming, and molecular distillation. Physicochemical properties (acid value and peroxide value [POV]), minor components (tocopherol, polyphenols, and phytosterol), oxidative stability indices, and volatile compounds were analyzed to find out the appropriate refining method for the cold‐pressed walnut oils. Quality indices of all the refined oils from the three different refining methods met the requirements of the national standard, of which the POV of chemically refined oil (0.241 g/100 g) was higher than crude oil (0.058 g/100 g). Water degumming was most suitable for retaining of bioactive compounds, for example, the tocopherol was 259.40 mg/kg, the polyphenols was 44.54 mg GAE/kg, and the phytosterol was 987.32 mg/kg, but oxidation stability of the obtained oil (3.09 h) was lower than that of molecular distilled oil (4.18 h). Initial physicochemical properties especially the POV had a significant impact on oxidation stability. There is a trade‐off between the retention of nutrients and extending shelf life, indicating appropriate refining techniques should be developed; that is, water degumming is suggested to be involved in producing high‐quality cold‐pressed walnut oils.