Cholesterol separation process from the heavy fraction of fish oil and characterized in that it comprises a first stage of obtaining fatty acids in the form of their esters and comprising: (i) a first step of transesterifying refined fish oil with an acid value of less than 2 mg KOH/g from the reaction with methanol, propanol, butanol or ethanol in a ratio between 1:5 and 1:2 w/w with respect to the oil refined, preferably 1:3 w/w with the addition of a basic catalyst selected from the group consisting of sodium hydroxide, potassium hydroxide, sodium ethoxide or sodium methoxide in a concentration between 0.75 and 1.5% w/w with respect to the oil, where it is allowed react in four ultrasonic reactors arranged in series between 20 and 60 minutes, at a pressure between 1 and 3 bar, at a temperature between 60 °C and 90 °C and constant reflux of alcohol; (ii) a second step to recover the alcohol not consumed in the reaction by flash evaporation in an evaporator that operates between 0.2 and 1 bar of pressure and temperature between 50 and 80 °C, where the alcohol recovered in this step is reusable in the first step; (iii) a third step to separate the mixture of the ester and glycerin obtained from the transesterification by means of a disc centrifuge that operates between 3500 and 6000 RPM, wherein the reaction reaches a conversion of glycerides to esters is at least 95%; (iv) a fourth step of concentrating the cholesterol present in the oil in the form of ester through molecular distillation obtaining a heavy fraction, using short-path distillers arranged in series, where the residue from one evaporator is fed to the next distiller and the distillate is returned to the previous still, where the operating conditions of the stills comprise vacuum pressures from 0.1 to 10 Pa, temperatures between 120 and 165°C and heat transfer areas between 2 and 5 m 2 and wherein in this step a stream concentrated in cholesterol content in the form of ester and another stream of esters concentrated in EPA and DHA fatty acids is obtained. (i) a first step of transesterifying refined fish oil with an acid value of less than 2 mg KOH/g from the reaction with methanol, propanol, butanol or ethanol in a ratio between 1:5 and 1:2 w/w with respect to the oil refined, preferably 1:3 w/w with the addition of a basic catalyst selected from the group consisting of sodium hydroxide, potassium hydroxide, sodium ethoxide or sodium methoxide in a concentration between 0.75 and 1.5% w/w with respect to the oil, where it is allowed react in four ultrasonic reactors arranged in series between 20 and 60 minutes, at a pressure between 1 and 3 bar, at a temperature between 60 °C and 90 °C and constant reflux of alcohol; (ii) a second step to recover the alcohol not consumed in the reaction by flash evaporation in an evaporator that operates between 0.2 and 1 bar of pressure and temperature between 50 and 80 °C, where the alcohol recovered in this step is reusable in the first step; (iii) a third step to separate the mixture of the ester and glycerin obtained from the transesterification by means of a disc centrifuge that operates between 3500 and 6000 RPM, wherein the reaction reaches a conversion of glycerides to esters is at least 95%; (iv) a fourth step of concentrating the cholesterol present in the oil in the form of ester through molecular distillation obtaining a heavy fraction, using short-path distillers arranged in series, where the residue from one evaporator is fed to the next distiller and the distillate is returned to the previous still, where the operating conditions of the stills comprise vacuum pressures from 0.1 to 10 Pa, temperatures between 120 and 165°C and heat transfer areas between 2 and 5 m 2 and wherein in this step a stream concentrated in cholesterol content in the form of ester and another stream of esters concentrated in EPA and DHA fatty acids is obtained.