Check out the Splunk DB Connect App.
You'll need to grab the Oracle drivers, and it requires a JRE. Then configure your database.
Then it depends on whether you want to index database data or use the database as a lookup, or just run database queries in Splunk.
I want to use an Oracle DB stored in local laptop. Is it possible? How can I establish Connection? Am using Splunk Enterprise 7.0 & DB Connect 3.1.3