We used transfer function approach to investigate the dynamics of oxygen sensors in engine exhaust environment, operated in both Lambda and wide range sensing modes. We measured the sensor transfer functions of the sensor responses and compared with the model. All the dynamic mechanisms involved were identified. The dynamic contributions are from the louver-shield, the protection coating-layer, the sensing electrode of the sensor; the exhaust gas pipe, the engine wall-wetting effect, the sample-and-hold effect of the discrete individual cylinder event, and the engine controller module. The engine wall-wetting effect shaped the measured sensor transfer function. The exhaust pipe caused most of the signal delay but no distortion to the signal strength. Within the exhaust sensor, the coating layer and the electrode determined the intrinsic sensor response time.