Oxford Street follows the route of a Roman road, the Via Trinobantina, which linked Calleva Atrebatum (near Silchester, Hampshire) with Camulodunum (now Colchester) via London and became one of the major routes in and out of the city.

Between the 12th century and 1782, it was variously known as Tyburn Road (after the River Tyburn that ran just to the south of it, and now flows underneath it), Uxbridge Road (this name is still used for the portion of the London-Oxford road between Shepherds Bush and Uxbridge), Worcester Road and Oxford Road. On Ralph Aggas’ "Plan of London", published in the 16th century, the road is described partly as "The Waye to Uxbridge" followed by "Oxford Road", showing rural farmland where the junction of Oxford Street and Rathbone Place now is.

Despite being a major coaching route, there were several obstacles along it, including the bridge over the Tyburn. A turnpike trust was established in the 1730s to improve upkeep of the road. It became notorious as the route taken by prisoners on their final journey from Newgate Prison to the gallows at Tyburn near Marble Arch. Spectators drunkenly jeered at prisoners as they carted along the road, and could buy rope used in the executions from the hangman in taverns. By about 1729, the road had become known as Oxford Street.

The street began to be redeveloped in the 18th century after many of the surrounding fields were purchased by the Earl of Oxford. In 1739, local gardener Thomas Huddle began to build property on the north side. John Rocque’s Map of London, published in 1746, shows urban buildings as far as North Audley Street, but only intermittent rural property thereafter. Buildings began to be erected on the corner of Oxford Street and Davies Street in the 1750s. Further development along the street occurred between 1763 and 1793. The Pantheon, a place for public entertainment, opened at No. 173 in 1772.

The street became popular with entertainers including bear-baiters, theatres and public houses. However, it was not attractive to the middle and upper classes due to the nearby Tyburn gallows and St Giles, then a notorious rookery, or slum. The gallows were removed in 1783, and by the end of the century, Oxford Street was built up from St Giles Circus to Park Lane, containing a mix of residential houses and entertainment. The Princess’s Theatre opened in 1840, and is now the site of Oxford Walk shopping area.

Oxford Street changed character from residential to retail towards the end of the 19th century. Drapers, cobblers and furniture stores began to appear on the street, and were later expanded into the first department stores. Street vendors began to sell tourist souvenirs on the street during this time. A plan of Oxford Street in Tallis’s London Street Views, published in the late 1830s, remarks that almost all the street, save for the far western end, was primarily retail. John Lewis started in 1864 as a small shop at No. 132, while Selfridges opened on 15 March 1909 at No. 400. Most of the southern side of Oxford Street west of Davies Street was completely rebuilt between 1865 and 1890, allowing a more uniform freehold ownership. By the 1930s, the street was almost entirely retail, a position that remains today.

Oxford Street suffered considerable bombing during the Second World War. During the night and early hours of 17 to 18 September 1940, 268 Heinkel He 111 and Dornier Do 17 bombers targeted the West End, particularly Oxford Street. Many buildings were damaged, either from a direct hit or subsequent fires, including four department stores: John Lewis, Selfridges, Bourne & Hollingsworth and Peter Robinson.

Every Christmas, Oxford Street is decorated with festive lights. The tradition of Christmas lights began in 1959, five years after the neighbouring Regent Street. There were no light displays in 1976 or 1977 due to economic recession, but the lights returned in 1978 when Oxford Street organised a laser display, and they have been there every year since.