PhD I think.
Going to Oxbridge as an undergrad, you're essentially there because you got good A Levels (and the A level system isn't perfect by any means) and maybe good scores on whatever other entry tests they use. A levels are a good indication that you're either: very intelligent, very hard working, very well coached through the interviews, very well educated, your parents were wealthy enough to send you to an amazing school or you're very good at remembering stuff in exams. There are too many variables that it doesn't really 'impress' me that someone is at Oxbridge as an undergraduate (but they'd still deserve to be congratulated if that's their ambition). Up to starting postgraduate, you're still very much following a set scheme of progression and operating inside a framework, so it's debatable how well someone is able to function without that framework. For some people, getting into Oxbridge is a huge achievement and a great reflection on their ability, but not everyone.
PhD on the other hand requires a huge amount of original and varied thought, research and self-guided study with comparitively little support. To be funded, your research proposal has to pass through a number of experienced and often field-leading academics (unsure if Oxbridge use the same multi-layer research committee system used by some other universities, but it'd make sense if they did), and if it, or you, is not great, you won't get the funding at all. And you're probably competing against dozens of other proposals. It depends a lot more on the person. Then the work is obviously going to be at a totally different level to undergraduate as well, and you're creating the framework yourself.
And, obviously, having a PhD is much more impressive than being an undergraduate, no matter where you go.