Baking goods are an essential part of the diet worldwide and are consumed daily, so they represent ideal foods for vehicle health- and unhealth-promoting substances. This work aimed to study the influence of sugars and baking conditions of cookies on the final levels of the main reported hazardous chemical compounds such as 5-hydroxymethylfurfural (HMF), 3-deoxyglucosone (3-DG), glyoxal (GO) and methylglyoxal (MGO). The replacement of sucrose with fructose or glucose in the cookies recipe deeply modifies the levels of α-dicarbonyl compounds (DCs), particularly 3-DG, independently of the baking temperature used. A longer baking time, even a few minutes, can drastically modify the HMF level in cookies and the use of fructose or glucose in the recipe seems to ensure the optimal conditions for generating this compound. The use of sucrose is required to keep levels of the hazardous compounds below a few mg/kg. Additionally, the ability to retain water, the titratable acidity and/or the pH of the final products were influenced by the used sugars with effects on the final levels of DCs and HMF. The highest Ea values determined for DCs and HMF formation in the cookies with sucrose suggest that this system requires very high temperatures to increase meaningful levels of these molecules, limiting their accumulation.