Damian Batt tucked home the winning penalty in the shoot-out after Ryan Clarke had saved from Marc Pugh, leaving the south-coast outfit to dwell on a sixth first-round exit in the past seven seasons.
The Cherries started the Capital One Cup tie the brighter and carved out early chances with Wes Thomas heading wide a free-kick from close range and then Pugh forcing Clarke into a good save.
The U's responded with Batt firing in a shot on the turn after good work by James Constable. Bournemouth goalkeeper Shwan Jalal then beat out two drives in quick succession from Adam Chapman and Sean Rigg, with summer signing Rigg also hitting an angled drive over the crossbar.
But that was the pattern throughout 120 goalless minutes as both sides struggled to produce an end product to some good approach play.
And Oxford's eventual shoot-out triumph meant it was not the start Paul Groves was hoping for in his first match as permanent Bournemouth boss.