Oechsle studied musicology, art history and philosophy at the universities of Kiel and Copenhagen.
In 1985 he became M. A. at the University of Kiel with his "Studien zum symphonischen Frühwerk Niels Gade".
In 1989 he was awarded his Doctorate with a work under the title "Symphony after Beethoven.
After his habilitation in 1995 ("Bachs Arbeit am strengen Satz.
Studien zum Kantatenwerk") he was first senior assistant, then from 1999 professor of musicology at the University of Copenhagen (successor to John Bergsagel).