An oxymoron is a phrase in English that uses words that contradict (have opposite meanings).
For example, a common phrase used to describe something unattractive is:
When we say pretty ugly, this has the same meaning as quite ugly. However, this is an oxymoron because 'pretty' can refer to something attractive or beautiful. 'Ugly' refers to something not attractive. So, putting these contradicting words together makes this phrase an oxymoron.
This video gives a summary of the origin of the word 'oxymoron'.