This study describes a novel and one-step procedure for the PEGylation of conjugated linoleic acid (CLA) in the melting state without solvents or catalysts for oxidative stabilization of CLA. The double bonds of CLA in PEGylated CLA (PCLA) were clearly detected by $^1H$ NMR (nuclear magnetic resonance) spectroscopy, indicating the successful PEGylation of CLA without oxidation during PEGylation, even at high temperatures. The level of headspace oxygen depletion by PCLA was lower than CLA, indicating that the oxidation of CLA was protected by PEGylation. This easy and simple one-pot PEGylation of CLA is an effective way of preparing fatty acids with increased stability to oxidation, which would be quite useful for nutritional and pharmaceutical studies.