Lewis Grabban struck a sweet effort from 20 yards out on his Rotherham debut to defeat Oxford.
The U's should have led when Asa Hall hit the post from Damian Batt's free-kick and Michael Duberry fired the rebound over from close range.
Grabban scored his goal early in the second half and debutant Peter Leven had a great chance to level for Oxford but he fired wide.
The scorer almost added a second but Ryan Clarke saved his shot superbly.
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U's boss Chris Wilder told BBC Oxford:
"I thought we were really comfortable in the first half and had the two best chances of the game. We should really have been 2-0 up at half-time.
"In the last 20 minutes, the majority of play was in their half but the quality wasn't there.
"We looked a bit anxious and rushed when we needed to settle down in that final third - that's what decided a close game."