Wednesday lost their unbeaten record at Hillsborough as Oxford hit a late, late winner on Saturday.
Callum Paterson cancelled out Cameron Brannagan’s early goal after the break but substitute James Henry struck right at the last.
Still there was time for Barry Bannan to crash a piledriver against the crossbar and overall, the Owls merited a point.
But despite bossing a largely one-sided second half, it wasn’t to be and the U’s headed back south with the points.
It was Oxford that threatened from the off, moving the ball well, and causing problems in the final third.
And after Matty Taylor fired a warning shot that flashed narrowly wide, the visitors burst into the lead on 11 minutes.
Brannagan found space down the right of the penalty area and looked up to fire a sweet low drive that whistled into the back of the Kop net.
Paterson broke clear of his marker as Wednesday sought an immediate response but dragged his shot past the post before Sam Long smashed over at the other end.
Bannan was next up in an open contest, sending a thunderous strike on goal that Jack Stevens acrobatically diverted.
Oxford survived a penalty shout on 27 minutes when Brannagan appeared to handle in the box and Stevens did well in tricky conditions to gather a Bannan effort from range.
The U’s finished the half strongly and Long almost gave Wednesday the proverbial mountain to climb but just failed to get something on Nathan Holland’s cross into the six-yard box.
The Owls looked to raise the tempo in the second half - Saido Berahino was introduced from the bench - but Oxford knocked on the door straight after the restart.
Steve Seddon’s feed from the left somehow evaded a raft of bodies in the danger zone to land invitingly at the feet of Taylor, whose shot was true but Bailey Peacock-Farrell pulled off a stunning near post save.
Wednesday motored upfield and only a lick of paint prevented an instant impact for Berahino as his header from Bannan’s pinpoint cross came back off the post.
The pressure came from the Owls as the game wore on, with Oxford seemingly content to sit deep and rely on hitting their hosts on the counter.
And that tactic cost the visitors on 72 minutes as their slender lead was surrendered. Marvin Johnson’s cross was as inviting as they come and Patterson was left with the simple task of heading home from six yards, which he did with some aplomb.
The equaliser prompted more attacking play from Oxford and twice they might have snatched the points before they did exactly that at the last. First, Henry sent a set piece inches the wrong side of the upright and moments later Long headed over with the goal at his mercy.
But then deep into stoppage time, the U’s grabbed the winner. Long sent a low delivery into the box and Henry span to clip a clever shot from the outside of the boot that nestled in the far corner.
Bannan promptly hit a thunderous shot from all of 25 yards - after Paterson had another penalty claim waved away - that cannoned off the crossbar which summed up a frustrating afternoon for the Owls.
Wednesday: Peacock-Farrell, Palmer, Iorfa, Dunkley, Johnson, Bannan, Adeniran, Wing (Dele-Bashiru 67), Shodipo (Sow 61), Paterson, Gregory (Berahino 46)