A large number of studies have confirmed that oil speculation has played a vital role in oil price fluctuation in recent years. However, the heterogeneous impact of oil financialization on oil price fluctuation has not received enough attention. Based on time series data from January 1990 to October 2021, this paper adopts the Time-Varying Parameter Vector Auto-Regression (TVP-VAR) model and the Ensemble Empirical Mode Decomposition (EEMD) method to study the heterogeneous impact of oil financialization on oil price fluctuation from three perspectives: different periods, different frequencies, and different time points of major events. The research results are as follows. First, the impact of oil financialization on oil price fluctuation in different periods is heterogeneous in terms of fluctuation amplitude and intensity. During major events such as the financial crisis or the COVID pandemic, the impact of oil financialization on oil price fluctuation is volatile and intense. Second, the impact of oil financialization on the oil price fluctuation of different frequencies is mainly reflected in the direction and duration. Oil financialization mainly promotes high-frequency oil price fluctuation in the short term, and it mainly suppresses low-frequency oil price fluctuation in the long term. Third, the impact of oil financialization on oil price fluctuation is heterogeneous in terms of duration, intensity, and transmission speed at different time points of major events.