The effect of Pimpinella saxifraga essential oil (PSEO) addition (1–3%) in sodium alginate coating on the bacterial and oxidative stability of cheese was studied during refrigerated storage. The GC–HRMS analysis of PSEO showed that anethole, pseudoisoeugenol and p-anisaldehyde were the main components. The PSEO exhibited strong in vitro DPPH radical scavenging activity (IC50 = 6.81 µg/mL), β-carotene bleaching inhibition (IC50 = 206 µg/mL), ferric reducing power (EC50 = 35.20 µg/mL), total antioxidant activity (213.96 ± 11.12 µmol/mL α-tocopherol equivalent) and notable DNA protection potential. Additionally, PSEO displayed potent antibacterial activity against 3 Gram-positive and 3 Gram-negative bacteria (MICs = 0.78–3.12 mg/mL). The acute toxicity of PSEO was determined using mice model (LD50 = 976.2 mg/kg). The enrichment of sodium alginate coating with PSEO, particularly at 3%, improved cheese preservation by reducing the weight loss, preserving the pH and color and enhancing oxidative and bacterial stability without unpleased flavor for consumers.