Here is the Wiki synopsis of the plot of Oblivion. They tell it better than I could.
Oblivion is set after the events of The Elder Scrolls III: Morrowind, though it is not a direct sequel to it or any other game.[24] 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.[25]
The story begins with the player imprisoned in a cell for an unknown crime and the arrival of Emperor Uriel Septim VII, accompanied by Imperial bodyguards known as "the Blades" in the Imperial City prison. They are fleeing from the assassins of the Mythic Dawn, a Daedric cult, who have murdered the Emperor's three sons. The bodyguards opt to kill the player but the Emperor prevents them because he had seen the player in a dream. The Emperor, the Blades, and the player head to a sewer that leads out of the city, using a secret entrance that is located in the player's cell. Once in the sewer, the group is attacked by the Mythic Dawn. 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, who is the grand master of the Blades. Immediately afterward one of the assassins kills the Emperor. The player then proceeds to the open world of Cyrodiil.[25]
The lack of an heir for Uriel Septim has broken an old covenant—the barrier to the realm of Oblivion: a dangerous realm that is in another dimension. Multiple gates to Oblivion open, and an invasion of Tamriel begins by magical creatures known as Daedra. Jauffre tells the player that the only way to close the gates permanently is to find someone of the royal bloodline to retake the throne and relight the Dragonfires—with the Amulet of Kings—in the Imperial City. Fortunately, there is an illegitimate son named Martin, who is a priest in the city of Kvatch. Upon arriving at Kvatch, the player finds that the Daedra are destroying the city. A massive Oblivion Gate is obstructing the main city entrance, and the player must venture into the Planes of Oblivion before searching for Martin. After closing the gate, the player enters Kvatch and persuades Martin to come to Weynon Priory.[25]
Upon returning, the player finds that Weynon Priory is under attack by Mythic Dawn cult members and that the Amulet of Kings has been stolen. The player escorts Jauffre and Martin to Cloud Ruler Temple, the stronghold of the Blades. Martin is there recognized as the emperor and is given command of the Blades, while the player sets off in search of the amulet. After gathering information, the player attempts to infiltrate the secret meeting place of the Mythic Dawn. When the player does so, their leader, Mankar Camoran, escapes through a portal, taking the amulet with him. The player takes the book that had opened the portal to Martin, who deduces a way to reopen the portal. The player seeks out three key artifacts necessary to recreate the portal: a Daedric artifact, the armor of the first Septim emperor, and a Great Welkynd Stone. With all three retrieved, Martin reveals that a final ingredient is needed: a Great Sigil Stone from inside a Great Gate similar to the one that devastated Kvatch. Martin and Jauffre decide to allow the city of Bruma to be attacked by Daedra so that a Great Gate will be opened. Once it is, the player obtains the Stone and closes the Gate.[25]
A portal is created at Cloud Ruler Temple and the player is sent through. After bypassing Daedra, Mythic Dawn members and obstacles, the player confronts Camoran and kills him. The player returns the Amulet of Kings to Martin Septim, and the Blades travel to the Imperial City to relight the Dragonfires and end the Daedric invasion. They find the city under attack by Daedra and the Daedric Prince of Destruction, Mehrunes Dagon. The player and Martin fight their way to the Temple of the One, where Martin shatters the Amulet of Kings to merge himself with the spirit of Akatosh, the Dragon-God of Time, and become his avatar. After a battle, the Avatar casts Dagon back into Oblivion before turning to stone. Martin disappears, the gates of Oblivion are shut forever, the Amulet of Kings is destroyed, and the throne of the Empire again lies empty. In a final monologue, Martin Septim describes the events in an optimistic light and states that the future of Tamriel is now in the player's hands.