Named after Oxford Street; a 'circus' is a place where traffic circulates.
There was never a real circus here. John Nash laid out the junction of Oxford Street and his new Regent Street, and it opened in 1819 as Regent Circus North; Piccadilly Circus was Regent Circus South. The current name came into use around 1836. Oxford Street, once Tyburn Road and Oxford Road, was known as the 'Road To Oxford' by 1682.