Mark Harris had given United the lead with a stunning looped volley from distance, but Joe Rankin-Costello found an immediate equaliser just before half-time.
Arnor Sigurdsson, on as a substitute, broke U’s hearts when he cut inside and found the net with seven minutes to go.
Des Buckingham made three changes from the side which suffered late heartache at Coventry City, with two of those enforced.
Elliott Moore was unavailable due to a knock on his knee, while Cameron Brannagan was out with illness.
Sam Long took Moore’s position at centre back, with Peter Kioso taking over from Long at right back. Idris El Mizouni replaced Brannagan in midfield, while Buckingham also brought Matt Phillips into the team for Przemyslaw Placheta.
The U’s edged the first 10 minutes or so, with Phillips getting a touch on a Kioso cross to bring a simple save out of Aynsley Pears, before a greater opportunity was presented to Phillips with seven minutes on the clock.
A quick break saw Tyler Goodrham feed Phillips down the right, but the summer signing cut inside and lost momentum, allowing his shot to get blocked by the Rovers defence.
The hosts then had the better of the next 10 minutes, with Jamie Cumming making a smart stop at his near post to deny a strike from Yuki Ohashi, before Cumming had to stretch and tip away a Ryan Hedges header from the resulting corner.
Just after the half hour mark, the unmarked El Mizouni wasted a huge opportunity when he headed wide from a Phillips cross.
Ruben Rodrigues then spun a left-footed volley over the crossbar from the edge of the penalty area, before United threatened from another dangerous counter-attack.
This time, El Mizouni slid Goodrham in down the left channel, with the 21-year-old sending his low shot wide of the far post.
The game then burst into life just before the break, starting with an absolute screamer from Harris.
The ball dropped from the air nicely for the Welsh striker, roughly 35 yards out from goal, and he sent a stupendous lobbed volley sailing over a helpless Pears, who could only watch the ball nestle in the back of his net.
Rovers though hit back straight away when Rankin-Costello span in the penalty box and found the bottom corner, with his effort beating the stretch of Cumming.
The U’s started the second period by testing Pears early on, as a corner was played to Goodrham 25 yards out, and he warmed the gloves of the goalkeeper with a stinging strike.
At the other end, a cross from Harry Pickering was met by opposite full back Callum Brittain, who stooped to head wide.
Buckingham made his first change just before an hour had been played, as Placheta came on for Rodrigues, with the former lining up on the left wing and Goodrham moving into midfield.
Rovers were whiskers away from nudging in front when substitute Andreas Weimann headed narrowly wide from Brittain’s free kick on the left corner of the penalty area.
Greg Leigh replaced Phillips after 71 minutes, while Placheta was then forced off, as Owen Dale came on for him. Louie Sibley also entered the fray for El Mizouni.
Moments later, Rovers moved themselves in front thanks to a brilliant effort from Sigurdsson.
The Icelandic midfielder cut inside from the left-hand side and thundered a powerful strike which crashed off the inside of the far post.
Blackburn Rovers (4-2-3-1): Pears; Brittain, Carter, Hyam, Pickering; Tronstad, Travis; Rankin-Costello (Weimann 65), Dolan (Sigurdsson 77), Hedges (Gueye 52); Ohashi.
Unused subs: Hilton, McFadzean, Batth, Buckley, Vale, Duru.
Booked: Tronstad, Travis.
Oxford United (4-3-3): Cumming; Kioso, Long, Brown, Bennett; Rodrigues ((Placheta 58) Dale 84), Vaulks, El Mizouni (Sibley 84); Phillips (Leigh 71), Harris, Goodrham.
Unused subs: Ingram, Thorniley, McEachran, Ebiowei, Scarlett.
Booked: Kioso.
Referee: Lewis Smith (Lancashire)
Attendance: 14,769 (1,212 away)