The Millers stormed to a fifth straight win with an entertaining display against the managerless visitors.
Anthony Forde gave them a seventh minute lead with a 25-yard rocket and fellow Irishman Richie Towell turned in the second after 29 minutes.
Oxford got one back just before half-time through James Henry’s powerful strike following a great solo run.
But Rotherham sealed victory early in the second half through Michael Smith and are now 12 unbeaten and up to fourth.
Warne said: “I was really pleased with how we started the game, then we scored. I wasn’t enjoying some of the decisions the lads were making but we rectified that at half-time. The lads are doing okay at the moment.
“They started the second half a lot better and played the way I want them to play. I do know they can play better.
“We created enough chances to win the game comfortably but you’ve got to take them. It’s another win to take us closer to where we’re trying to get to.
“I didn’t think we were as comfortable or played as fluently as we have in recent weeks. I’m really pleased with the win and we’ve got to keep picking up points any way we can.
“I thought Oxford were really good opposition and they had a lot of the ball as well. They caused us problems and I felt we needed that two-goal advantage.”
Oxford caretaker manager Derek Fazackerley said: “In terms of the result, it’s very disappointing.
“We didn’t help ourselves again. We seem to go on about it every week. It’s a recurring theme. We should have undoubtedly done better for the first two goals.
“I thought the players showed a good reaction to that and the performance in terms of energy, enthusiasm and desire was certainly decent.
“In spells we looked as though we had opportunities to get back into the game.
“We had a reasonable spell at the start of the first half but then conceded a third goal. Of course, then we have a mountain to climb again and that’s not the first time we have said that in the last few weeks.”
Fazackerley said the difference in confidence between the two sides told.
He added: “The confidence in their players was evident and the lack of confidence in ours was evident as well because of the little run we have been on.
“We can’t moan and complain about it. We have another game on Saturday and we have to be up for the fight.”
Uwe Rosler was sacked by Fleetwood following a 3-0 reverse at Doncaster which condemned Town to a seventh straight defeat in all competitions.
Cambridge interim head coach Joe Dunne was pleased with how his side adapted to beat Grimsby 3-1.