Start with a good staple diet of appropriately-sized pellets. Hikari Cichlid Gold makes for a good base diet, but there are others as well.
Provide variation in the diet several times a week via freeze-dried or frozen
krill, bloodworms, earthworms, shrimp, etc., and the occasional
spirulina or algae wafer bit if he will take them.
You *can* give them feeder animals such as guppies or ghost shrimp, but be aware that the ones from the store often carry diseases and have little nutritional value. You need to either raise your own or keep them in a quarantine for a few weeks before feeding them to protect your fish, and feed them a very high-quality diet so those nutrients can be passed on to your fish. While it's not necessary to feed feeders to your Oscar, you also should normally not feed them exclusively. Certain common feeders, such a goldfish, can actually create major problems in your fish if fed exclusively, even if the goldfish are healthy.