Atletico won 3-2, with Alvaro Morata scoring twice, with Oblak outstanding on the night.
He later said: "It was a difficult game against a great team of young, fast players. In the end, we got the three points, but it was not easy - right until the last second.
"Our character is great. It's not the first time we have come from behind to win. You need to be focused for 90 minutes. It was better for us to go into half-time at 2-2, and then we scored another.
"At the end we were suffering, but the three points stay here and that's the only thing that matters."