Can you tell me if fish oil goes bad with heat, does the same happen with the fish itself?

Depends : Fish oil consists of polyunsaturated fatty acids called EPA and DHA which under extreme temperature can breakdown such as deep frying the fish. So it is known that consuming fried fish compared to boiled or broiled fish offers no protection against heart disease. Taking fish oil supplement is no substitute for eating non fried fish specially the fatty fish like salmon regularly