A much-changed Rovers side failed to find the net at home in a league game for the first time since October.
Alfie May, John Marquis and Matty Blair all went close but the hosts could not find a way past Oxford goalkeeper Simon Eastwood.
To add to their frustration referee Martin Coy waved away second half penalty appeals when May and Jordan Houghton went down in the box.
Oxford's victory was precious in their bid to stave off relegation, while it means Rovers are still not mathematically safe.
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Darren Ferguson freshened up his team by making five changes and resting mainstays James Coppinger and Tommy Rowe.
Minus some of their most effective ball players, Rovers were sometimes sloppy in possession during a closely fought first half.
But they also produced some good bits of play and May came closest to breaking the deadlock when he skilfully manufactured a chance for himself but saw his shot blocked by the onrushing Eastwood.
Oxford showed plenty of endeavour themselves. Wes Thomas was a handful in attack and dragged a decent early chance wide, while Doncaster-born Alex Mowatt clipped an effort over the bar from the edge of the box.
Rovers cranked it up following the re-start. Marquis should have scored but headed Niall Mason's free kick wide from point blank range and then neatly converted Ben Whiteman's cross but the goal was ruled out for offside.
Blair was then guilty of wasting a good opportunity after being teed up by Rodney Kongolo. His shot was at a good height for Eastwood.
And Rovers were made to pay on 63 minutes when Oxford swept forward and substitute Henry headed home Ryan Ledson's cross.
Luke McCullough had a shot blocked, Eastwood tipped over another Marquis attempt and Andy Butler blazed over in stoppage time but it was not to be Rovers' day.
Rovers: Marosi, Alcock (Kiwomya 86), Baudry, Butler, Mason, McCullough, Blair, Whiteman, Kongolo (Houghton 70), May (74), Marquis. Subs not used: Lawlor, Anderson, Boyle, Amos.
Oxford: Eastwood, Kane, Dickie, Mousinho, Ruffels, Ledson, Rothwell (Nelson 76), Brannagan, Mowatt (Henry 56), Thomas, Obika (Hall 90). Subs not used: Martin, Shearer, Silva, Van Kessell.
Referee: Martin Coy (Durham)