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!).
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?
my God(
may
gad
)An interjection is a short utterance that expresses emotion, hesitation, or protest (e.g., Wow!).