OK, so this could be a long post but I figure it might help to outline some (not all - some I would hope were very specific to my situation and would never happen to any of you!) of the issues I faced during my three years at Oxford, and what I think helped (or in retrospect, would have helped)
THINGS THAT MIGHT HAPPEN/THAT COULD GO WRONGDeveloping an inferiority complex/feeling "unworthy" of being at OxfordThis has been touched upon a bit above, with talk of imposter syndrome and the feeling that you might be behind your tutorial partners. I think anyone who isn't a complete douchebag/narcissist does question at least once whether they ought to be at Oxford, during the course of their degree. It's a huge step up and it's very natural to feel behind and like you are failing, especially in the first term/the first year. The fact that it is natural to feel that way, though, doesn't make it pleasant or right that you should feel that way!
You may feel this way for a number of reasons. It may be that you are feeling uncertain and insecure and are therefore beating yourself up a lot, or reading too much into things. It may be that others - tutors or peers - either deliberately or inadvertently make you feel small through what they say and do, and how they act around you.
Bullying/discriminationI would hope this wouldn't happen to anyone but it can/does happen to some people... As with any uni, there are a small number of jerks at Oxford who may target you through bullying and/or discrimination. This may be due to your accent, your school background or where you live, your race/ethnicity, the way you dress - it could be anything.
It's important to know that if you are being targeted in this way, it says far more about the bully than it does you.
Struggling to fit in/make new friendsSome people come to Oxford knowing other people already from school or extra-curriculars; others may not though, and may find it hard to settle in and make friends. It may be that you are shy, or perhaps you don't drink (not that either reason should make you feel excluded at all!). Perhaps you have anxiety about talking to new people.
It's important to remember that friendships change over time and that the people you click with in Freshers' Week won't necessarily be your friends for life. It's OK to spread your wings and to try and get to know as many new people as you can.
Pre-existing mental health conditions worseningI personally wouldn't advise attending Oxbridge if you have a pre-existing mental health condition, but if you DO, you must be aware that it could worsen due to the intense nature of the studies and your new environment.
WHAT COULD HELPTalking about how you are feeling early onThis cannot be overstated enough. If anything at Oxford is making you unhappy - regardless of what that is - it is important that you speak out at the earliest opportunity. (I rarely did this and it's something I bitterly regret, as it affected my overall degree classification.) There is loads of pastoral support at both uni and college level, in addition to your own friends and family. So tap into it! If you don't get on with one welfare person, try another - there's bound to be someone you can confide in who will try to help. Don't bottle things up: it may cost you a lot (your degree classification, your sanity or - at very worst - your life).
It's really important to report any untoward behaviour from others (be it bullying/discrimination/harassment) to your college. It will be swiftly dealt with. You deserve not to suffer.
Do things for yourself that are not related to your studiesI feel this is really important and was key to my getting through Oxford vaguely intact! Whilst studies are important and need to be done, it's important to do relaxation things, and/or things you enjoy too. So get involved in extra-curriculars or uni/college societies (NB. this is also a great way to meet new people and to make like-minded friends). There are so many things to do in Oxford and you will regret not making the most of the opportunity if you are not proactive about engaging in things during your degree.
Remember it's OK and indeed important to take breaks. Get some fresh air every day - go for a walk around your college or pop down to the shops or the University Park.
Something that myself and my tutorial partners instititued in 2nd year was 'The Daily Doss'. Every day, for at least an hour, the three of us would convene in someone's room and sit and drink tea, so that we were socialising and dedicating some sacred time to not doing any work. It was really healthy for all of us and helped us get through our degrees. It also built a strong sense of cameraderie
Why not do something similar yourself?
Remember you are amazingYou are important, you are wonderful. You deserve to be happy and you deserve to be at Oxford if you were offered a place. That said, don't do things that make you ill or miserable. As has been said, there's absolutely no shame in leaving Oxford at all if it needs to be done to preserve your wellbeing.
Register for all the support you are eligible for If you are mentally ill and you really do want to give Oxford a go, then by all means do - but PLEASE, PLEASE, PLEASE declare your conditions to the university and to your college at the earliest outset. Apply for DSA and the minute things start going downhill for you, confide in someone who can help. Don't suffer in silence - you may live to regret it (if you do live to tell the tale).
I think these are my main thoughts for now - may add to things later