The Telegraph called the story terrific and tense. "It was suitably scary, right from that eerie 2001-meets-Alien opening scene when shadows loomed up behind poor Ellie (Katie Brayben), before Ivan (Kieran Bew) saw her helmet slowly floating past. The lurching zombie army had a real sense of menace, claiming three victims on-camera, with genuine jeopardy for Bill. "
The Mirror called the story a claustrophobic treat "Writer Jamie Mathieson has proven his worth in the Whoniverse, with previous outings including Flatline and Mummy On The Orient Express. The sense of impending doom is notched up skillfully, from cutting off the TARDIS, leaving the leads no choice but to get into the 'death suits' and jaw-dropping moments where The Doctor leaves Bill to her apparent fate not once but twice."
Digital Spy felt the episode was bloody brilliant. "it's a story told with a great deal of wit and place, is stylishly produced, and does most everything you want Doctor Who to do on a Saturday evening. From the off, returning writer Jamie Mathieson displays a real talent for economical storytelling – with a strong, evocative opening that quickly establishes its two characters, their connection and why we should care about them, then follows up with a chilling execution."
Den of Geek also liked the story "I’d argue it was as good a standalone episode of Who as we’ve had this run. Given that there’s not been a duffer, that’s no small feat or backhanded compliment, either."
Radio Times felt the story was creepy but the premise absurd. "I struggle with the central conceit that in the future, in space, oxygen will be a commodity that you pay for dearly, even with your life. It lends a wry, more literal meaning to such everyday phrases as “Save your breath” and “You’re wasting your breath”. But I don’t really believe it. "
Ars Technica gave the episode a B- "Overall, Oxygen (written by Jamie Mathieson—whose previous credits include Flatline and The Girl Who Died) is another very good episode for series 10 of Doctor Who, with a dark foreboding that ought to remind the Doctor that fear makes companions of us all."
AV Club says the episode bites off way more than it can chew feeling the story should have been spread over two episodes. "Oxygen is at its best when it is straightforward, verging on over the top—the Doctor’s line about fighting an algorithm is great, as is the immediate follow-up about how they’re fighting the suits—but there are other, subtle critiques threaded throughout the episode that pass by so quickly they don’t quite register as part of a larger message."
Doctor Who Watch again praised Peter Capaldi's acting "I thought this episode let Capaldi shine in a way we haven’t seen before. In one of his most human moments, doing something for one of the most human consequences, he still does it, despite the risk. He plays throughout this episode in a light-hearted manner most of the time, but serious when he needs to be. This episode brought out the perfect balance between personalities."
IGN had a mixed response to the story "The episode itself is not one of Season 10’s strongest outings. There’s a lot of busy work involving the spacesuits which keep the Doctor and his pals alive, but what should be the most effective dramatic moments of the segment -- Bill’s “death” and the Doctor’s being struck blind -- don’t quite land."
Screen Rant likes this year's story arc. "Framing the Doctor’s yearning for adventure and freedom with his obligation to watch over the vault is a clever way of serving the needs of the season’s mysterious overarching storyline with the recurring theme of institutions operating in bad faith."
Finally, Games Radar thought Oxygen was marvelous praising Pearl Mackie's performance as Bill. "Seeing her scream for her mum when the Doctor leaves her behind is guttural and heart-wrenching. Pearl Mackie’s acting is consistently honest, raw at times, and never, ever whimsy." Link to Doctor Who News Review