Frying foods affect the nutritional content in food just as any other preparation of food does.
Foods that are mainly affected vegetables and fruits. This is because meat and other proteins have a need to be cooked to destroy any microbes, and unlike vegetables and fruits, their mineral content for these stay intact.
Heat takes away phytonutrients and vitamins, which are in your fruits and vegetables. The more time they take cooking and the higher the temperature they cook at, determines the amount of destruction is done to their nutrients. Simply chopping foods can take away some nutrients, which is why it is best to eat foods quickly after chopping.
On the other hand, some phytonutrients are actually easier to absorb in the body after they are chopped and cooked. A good example is lightly cooking a food will increase the absorption of carotenoids, which can be found in butternut squash, winter squash, tomatoes, and dark green leafy vegetables and herbs, such as spinach, kale, and parsley.
Another good example of this is that you will absorb more of a powerful antioxidant, carotenoid lycopene, when consuming spaghetti sauce, in comparison to just eating a raw tomato. Cruciferous vegetables, such as broccoli, will release cancer-fighting isothiocyanates more when they are cooked lightly, however, too much cooking will destroy the compound.
Basically, cooking vegetables in and of itself is not bad, but keep the time you cook to around 5 minutes if you can while using a moderate level of heat.