Rosa roxburghii seeds are by-products of R. roxburghii processing, and their protein hydrolysates (RTSPHs) were found to possess a variety of biological activities. This study aimed to rapidly identify pancreatic lipase (PL) and cholesterol esterase (CE) inhibitory peptides in RTSPHs and to elucidate their molecular mechanisms by combining peptidomics and virtual screening. The simulated intestinal environment worsened the peptide’s inhibition of PL but catalyzed the inhibition of CE. The fraction less than 3 kDa in RTSPHs was found to have the highest PL/CE inhibitory activity, among which 17 promising inhibitory peptides were identified and screened by peptidomics and virtual screening. LFCMH, RIPAGSPF, and YFRPR showed good inhibitory abilities against both PL and CE. Molecular docking showed that peptides inhibited PL and CE mainly by hydrogen bonding and hydrophobic interactions with residues in the active site and surface loop. Inhibition kinetic revealed that the peptides were competitive and mixed-type inhibitors of PL/CE. Further, the three peptides, LFCMH, RIPAGSPF, and YFRPR, could effectively inhibit 3T3-L1 preadipocytes differentiation, increase high-density lipoprotein cholesterol content and decrease low-density lipoprotein cholesterol content. This study suggests that combining peptidomics with virtual screening is an effective strategy for rapid screening of PL/CE inhibitory peptides.