Insects and Crustaceans are the most abundant part of their natural diet. Crickets, shrimp, krill, crayfish, are all great readily available alternatives. They will eat any small fish that wander by as well, so some feeders are good too. Worms are of course a good supplement too, blackworms, earthworms... And of course pellets are usually used as a standard staple. You can also prepare raw prawns and such from the grocery store.
Oscars have adapted to eat and digest pretty much anything they come across, but keep in mind they don't come across cows and chickens very often.