Oblivion is set six years after the events of The Elder Scrolls III: Morrowind, though it is not a direct sequel to it or any other game.[19] The game is set in Cyrodiil—a province of Tamriel, the continent on which all the games in the series have so far taken place.[20]

The story begins with the player imprisoned in a cell for an unknown crime. Emperor Uriel Septim VII, accompanied by Imperial bodyguards known as "the Blades", arrive in the prison, fleeing from assassins who have murdered the emperor's three sons and are now targeting him. The emperor and the Blades reveal that the player's jail cell contains a secret entrance to a part of the city's sewer that functions as an escape route. Pardoned by the emperor, the player follows the group into the sewer, where they come under attack by assassins. All but one of the Blades are cut down in the fighting that ensues. Knowing he is destined to die by the hands of the assassins, Uriel Septim entrusts the player with the Amulet of Kings, worn by the Septim emperors of Tamriel, and orders the player to take it to a man named Jauffre, the grand master of the Blades, at Weynon Priory. Immediately afterward, one of the assassins kills the emperor. The player escapes the sewer and heads out into the open world of Cyrodiil.[20]