Don't worry about which is healthier if all you're using a reasonable quantity of it, the important thing is using the correct oil for the type of cooking you're doing at the time. Olive oil cannot handle high temperature cooking without tasting acrid, while veg or sunflower oil doesn't have the same pleasant taste as olive or rapeseed oil for preparing dressings or sauces.
Olive oil can be used for both frying, cooking and salad dressing. whereas vegetable oil is used for cooking as well as in supplements. So they both have their own additional quality and are great for health.