Did you install any mods? That's what pretty much only happens when the game can't access a plug-in file that another plug-in file depends on.

Nope no mods, clean install of the game. Same thing happens with GOG version of Fallout 3. Steam versions of these games work fine, its the GOG version that's having issues.

I don't have both versions installed at the same time by the way.

You should contact the support. I don't know what the problem might be. Or, maybe there are some .ini files left of the previous Steam versions or some registry entries that are incompatible.

Did you use GOG Galaxy to install the game? I had the same issue and managed to get it working by reinstalling using the backup installer they provide, which installs the game at C:/GOGGames. I don't know why, but I occasionally have better luck doing a manual installation rather than using their games manager.

I have both versions of the game (Steam and GOG) and I had the same problem. Deleting my old saves (from the Steam version) fixed it.

Delete Oblivion Folder in:
...\My Documents\\My Games
and
C:\Users\xxx\AppData\Local