The 36-year-old striker has been in and out of the team at Fratton Park in recent weeks following a number of injuries.
Connolly signed a two-year contract with Pompey last summer, but Richie Barker has decided that he can cope without the former Southampton player.
Speaking to Oxford's official website, Connolly said: "I am really looking forward to it. The club are in a very strong position and is set up for success and I want to play a part in that."
United are fifth in League Two.