So I installed Oblivion (fresh install, no mods), hit 'play', it opened the program and played the Bethesda logo cinematic, and then immediately crashed without any kind of error message or anything.

I went online and only found three-year-old posts from people with the same problem. Some suggested running it as administrator, or in compatibility mode with a different Windows version, or by running it in windowed mode with lower resolution, but nothing works for me.

Interestingly enough, I found posts that Morrowind doesn't work on Windows 11 either, but it works fine for me.

How do I get it to run? I just want to play some damn Oblivion! :'((

Have you installed directx 9c ?
https://www.microsoft.com/en-au/download/details.aspx?id=8109
If not, I would start there.

First of all, both Morrowind and Oblivion run on Win11 PCs without a problem - in general. A problem like yours has been and is being reported occasionally, and not only for Win11 but also for much older operating systems - and I don't remember that there was ever evidence for a relationship with the operating system.

For ideas how to solve the problem, I suggest you consult Oblivion's Steam forum and search for "Bethesda logo crash" or similar. But bear in mind that the Steam forum couldn't help you, if, for example, the problem cause is associated with Galaxy in any way (I don't use it).