Kelvin Phillips put Sphinx ahead on 12 minutes with Kyle Rhodes adding a second nine minutes later.
Ramon Mank made it 3-0 for Sphinx in the 39th minute before Oadby pulled one back through Jon Stevenson in the 40th minute.
Oadby scored twice within the opening fifteen minutes of the second half through Edward Isufi and Arran Butcher to level the match.
Kyle Rhodes put Danny McSheffrey's side who take on leaders Barwell at home on Tuesday night, back in front with a 70th minute penalty only for Leon Cole to equalise in the last minute.