This response assumes that the oil in question is something like vegetable oil or olive oil. Oils are similar, but not all oils are identical in their behaviors when heated. As an example, the flash point of vegetable oil is about 200 degrees Fahrenheit hotter than the flash point of olive oil. Oils also vary in their specific heat capacities.
All substances have a "willingness" to change temperature. Some substances like metals are very willing to heat up or cool down. Those substances have a low specific heat capacity. Conversely, water has a high specific heat capacity. It's "hard" to heat water, and that is why it can be frustrating that your pot heats so quickly, but the water inside of it takes forever to heat to proper cooking temperatures.
The specific heat of water is about double that of cooking oils, so in general the oils respond to heat better because they heat more quickly; however, that is not always true. Water can, in certain scenarios, heat more quickly in the beginning, and that is because it has a lower viscosity. If your heat source is at the bottom of the container, the liquid at the bottom will heat first. Water's lower viscosity means that the heated water will circulate sooner than the oil, which has a higher viscosity. Eventually, oil's willingness to heat will cause it to "catch up" and heat more quickly than water.