Something that applies to all feeder fish and other live food is not to use anything caught wildly, but a lot of people also shy away from store bought feeder fish/live food because you never know what diseases it may or may not have, leading you to want to quarantine it before feeding just like you would before adding a fish, but that takes time. A good option is if you wanna do live food, raising it yourself is a good option because then you know what condition it's in.
I'd imagine an Oscar would eat shrimp. Larger oscars can even eat cray fish.
I don't know if this applies to shrimp but with feeder fish people don't recommend feeding live fish to your Oscar too often as that can lead to the Oscar getting fat. High Quality pellets tend to have all the good stuff a fish needs.
I don't know what you've been feeding him but HikarI floating pellets are great. The HikarI Gold series comes in small medium and large pellets. A full grown Oscar would eat the large pellets of course. But that's off topic.
Hopefully somebody with experience actually feeding shrimp to Oscar can give you some more info!