oscars should have a varied diet made up mostly of high quality cichlid pellets with about 20% of their diet consisting of live and frozen foods like earth worms, meale worms, crickets, shrimp (the kind at the store, or like ghost shrimp, etc.) silversides, krill, blood worms, black worms, and they will even eat veggies like romaine lettuce, shelled peas, zucchini, green beans, etc.
they do not normally eat live fish in the wild, and the ones you get at the pet store are very unhealthy. if you WERE to feed live fish, i would breed something like feeder guppies or other livebearers and gut-load them with vitamins and really good food before feeding to the oscar. that way you can be sure of the quality of the oscars food and know you aren't introducing some disease to your O's.
same should be done with all live foods. make sure if you dig earth worms out of your garden that you haven't treated your garden with either pesticides, OR fertilizer. i heard someone say they gut-loaded their worms by putting them in a small box full of good quality flake fish food and dampened with liquid vitamins. the worms stuff themselves on this and after they've been in there a couple days, you feed them to the oscar and the good vitamins get transfered to the oscar. this can be done similarly with any life food you get.