The Owls were rewarded for a better second-half display, Callum Paterson heading in the equaliser to cancel out Cameron Brannagan’s first-half strike.
But in six minutes of stoppage time, substitute James Hendry popped up to snatch all three points for Oxford.
It was harsh on the Owls – who saw Saido Behahino hit the post – as their second-half revival warranted a share of the spoils.
The Owls made two changes to the starting XI from the midweek win at Wigan Athletic, captain Barry Bannan and Olamide Shodipo returning, Sam Hutchinson and Jaden Brown dropping out.
Oxford included former Owls defender Jordan Thorniley, making his first return to his boyhood club.
Their was a touching round of applause for former Owls midfielder Jose Semedo on six minutes - he wore the No 6 shirt in his time at Hillsborough - whose wife sadly died last week.
But it was the visitors who came closest to opening the scoring after 11 minutes, Matty Taylor dragged his shot wide of Bailey Peacock-Farrell’s left-hand post.
Oxford were in front a minute later, and it was another error from the on-loan Burnley goalkeeper, Brannagan’s fierce low shot catching Peacock-Farrell out at his near post.
The former Leeds United goalkeeper has been guilty of some shocking mistakes in recent weeks, and while this wasn’t in the same category as ones which saw the Owls drop four points from winning positions against Shrewsbury Town and Ipswich Town, it was a shot which Peacock-Farrell should have dealt with.
In the goalkeeper’s defence, with rain lashing down during the first half, the conditions were not ideal.
At the other end, Paterson raced clear but didn’t have the legs to escape his marker, and under pressure, fired his shot wide.
The game was opening up, and both sides could have scored within 60 seconds.
Sam Long volleyed into the Kop from an Oxford corner, before the hosts broke and Bannan saw his effort tipped over the crossbar by Jack Stevens.
Liam Palmer’s surge into the box from right-back ended with his shot blocked by Thorniley.
Moore replaced Lee Gregory for Berahino at half-time, looking inject much-needed pace into Wednesday’s attack.
But it was at the other end where the first chance of the second half came.
Taylor found himself in space to get in a shot, but Peacock-Farrell showed his undoubted class with a superb close-range save.
Then came Wednesday’s best chance of the match so far. Berahino was denied by the post, heading Bannan’s far-post cross against the woodwork.
There was now an intensity about the hosts, lacking in the opening 45 minutes, as they took the game to Oxford.
And the goal their play deserved came on 73 minutes, Marvin Johnson’s left-wing cross headed in by Paterson. It was fine reward for the Scotland international, leading the line after Gregory’s exit, chasing down lost causes and not allowing the visiting defence time on the ball.
But despite bossing the rest of the contest, the Owls failed to conjure up a second goal - seeing a couple of penalty appeals waved away - and were hit by a late sucker punch in six minutes of stoppage time.
The ball came in from the right, and substitute James Henry hooked the ball beyond Peacock-Farrell.
There was still time for Bannan to be denied from long-range by the crossbar, while Peacock-Farrell thwarted substitute Dan Agyel at the other end of the pitch.