The Millers did it the hard way after failing behind early on when Dan Barlaser diverted Sam Long's cross into his own net to put the U's - seeking a win to keep alive their play-off hopes - ahead.
The hosts were 'nervy' according to Warne for much of the first period before a huge moment in the game swung the Millers way moments before the break when Rarmani Edmonds-Green scored his first goal at the AESSEAL New York Stadium, heading in from Ben Wiles's cross to equalise.
Rotherham produced an on-message assertive second half and Barlaser's eventful day continued when he held his nerve to score the winner from the spot midway through the half after Luke McNally was penalised for bringing down Chiedozie Ogbene.
A tense finale ensued with the hosts missing chances to seal victory, but Rotherham held their nerve on a day when promotion rivals MK Dons also won.
Warne, whose side now face back-to-back away games at Sunderland and Gillingham to end the regular season, said: "As always, when a game has that feeling of must-win and you go a goal down, you might as well go a goal down early as opposed to after 70.
"I was a little bit surprised how Oxford played; they were a little bit more direct than I was expecting.
"We were just overaroused; sometimes you so badly want something. They wanted it too much and sometimes, it clouds your judgment.
"There were times when we couldn't pick a pass as we were tight and times when we had a chance to cross it and didn't. I just thought the goal at half-time settled us down and it was a great goal.
"I didn't think our performance was that bad in the first half, but it was nervy.
"I give the lads five minutes in the dressing room before I go in (at half-time) and I could hear them and they were bouncing in there thinking: 'we are right back in this, come on.'
"It gave them an opportunity and at half-time, my team talk completely changed and we just went full positive on them.
"I said: 'Look, if you are going to fail, fail being brave and fail trying to do the right thing. Don't fail by tightening up as you will live with regret if you do that.'
"I just thought there was a time when one of my players kicked the ball out of play, not intentionally as he has been unbelievable.
"But as a team, you need everyone else to clap him and say: 'that's fine, come on, come on.' Not look at your boots and think it is not going to be our day.
"You have to be brave to win football matches and I thought our second-half performance."