QUICK ANSWER
"My God" is a form of "my God", an interjection which is often translated as "Dios mío". "Oh" is an interjection which is often translated as "oh". Learn more about the difference between "oh" and "my God" below.
oh(
o
)
An interjection is a short utterance that expresses emotion, hesitation, or protest (e.g., Wow!).
interjection
a. oh
Did you know there were going to be fireworks tonight? - Oh? No, I didn't.¿Sabías que iba a haber fuegos artificiales esta noche? - ¡Oh! No, no lo sabía.
b. vaya
Oh! What a pleasant surprise to see you here!¡Vaya! ¡Qué sorpresa tan agradable verte aquí!
c. ah
Oh! I get it now. The TV won't turn on because it's not plugged in!¡Ah! Ya entendí. ¡La tele no se enciende porque no está enchufada!
a. ay
Oh! That's hot.¡Ay! Eso está caliente.
a. eh
Oh, sir, you're stepping on my shoe!¡Eh, señor! Me está pisando.
a. en serio
Oh? You're going to be the master of ceremonies?¿En serio? ¿Vas a ser el maestro de ceremonias?
b. no me digas
Oh, you have got to be kidding. Steve's going out with Melanie again?¡No me digas! Debe ser una broma. ¿Steve está saliendo de nuevo con Melanie?
c. de veras
Oh? You won the gold medal?¿De veras? ¿Ganaste la medalla de oro?
a. ay
Oh! Shut up! That is disgusting!¡Ay! ¡Cállate! ¡Eso es asqueroso!
a. ah, sí
I'm leaving early today. - Oh?Hoy salgo temprano. - ¿Ah, sí?
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my God(
may
 
gad
)
An interjection is a short utterance that expresses emotion, hesitation, or protest (e.g., Wow!).
interjection
a. Dios mío
You drove six hours just to see her? My God!¿Condujiste unas seis horas solo para verla? ¡Dios mío!
b. por Dios
My God! I didn't know tennis racquets were so expensive.¡Por Dios! No sabía que las raquetas de tenis eran tan caras.
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