Illegal cooking oil (ICO, also named swill-cooked dirty oil) has recently become a serious food safety problem in China. Now, the identification method of ICO is also a hot research area. Owning to the special eating habits of Chinese people, cayenne is widely used in catering business. Capsaicinoids are main spicy compounds in cayenne. So, they are potential evaluation indices for the identification of ICO. In this study, a solid phase extraction-liquid chromatography-mass spectrometry (SPE-LC-MS) method has been developed to detect the trace residues of three capsaicinoids (capsaicin, dihydrocapsaicin and nonylic acid vanillylamide) in cooking oil. The oil sample was first extracted with 20 g/L sodium hydroxide, the C18 SPE cartridge was then used to clean-up the sample and enrich the analytes before the liquid chromatography-mass spectrometry (LC-MS) detection. With this method, sixty seven blind samples provided by China National Center for Food Safety Risk Assessment were analyzed. The results showed that the capsaicinoids are good evaluation indices for the identification of ICO. In all the 48 ICO samples, 36 samples were successfully recognized. All the 19 normal oil samples were accurately identified. This method has been chosen and authorized as one of the four standard instrumental identification methods for ICO by the National Ministry of Health of China.