Peter Alexandrovich of Oldenburg was the only son of Prince Alexander of Oldenburg and Eugenia Maximilianovna, née Duchess of Leuchtenberg. His mother was the granddaughter of Emperor Nicholas I and Eugenie de Beauharnais, the stepson of Napoleon, while his father was the great-grandson of Tsar Paul I.

In 1901, Peter married Grand Duchess Olga Alexandrovna, the daughter of Emperor Alexander III and sister of Emperor Nicholas II. Peter and Olga were second and fourth cousins: Olga's father, Emperor Alexander III, was a second cousin of Peter's mother and a third cousin of his father. Thus, the couple had two common ancestors, Russian Emperors Paul I and Nicholas I. Their marriage was childless, unsuccessful, and initially political in nature. They divorced in 1916.

As a major general, Peter commanded the Imperial Family's rifle regiment. After the events of February 1917, he retired and settled in his estate in the Voronezh province. After the October Revolution, he emigrated to France with his parents, living in Paris and on a farm near Bayonne. In 1922, he married Olga Vladimirovna Serebryakova, born Ratkova-Rozhnova. Peter engaged in literature and published three stories about folk life in Paris under the pseudonym 'Peter Alexandrov.' Ivan Bunin, while in exile, often communicated with Prince Oldenburg and wrote an essay about him after his death from rapid tuberculosis in 1924.

Peter Alexandrovich is buried in the crypt of the Mikhailo-Arkhangelsk Church in Cannes.