Oleg was born in the Azerbaijani capital city of Baku, and studied at the Moscow Conservatory with Mikhail Voskresensky, graduating in 1988 and winning the Pilar Bayona International Piano Competition in Zaragoza. In 1990, Marshev took the gold medal at the AMSA Piano Competition in Cincinnati and just before the collapse of the former Soviet Union, Marshev settled in Italy. In 1991, Marshev held his New York debut at Alice Tully Hall in the Lincoln Center, and has appeared in concert around the world since then.
Oleg Marshev's first recording project was the complete original works for solo piano by Prokofiev (5 CDs) for Danacord Records. He has since recorded over 30 CDs for the same label, featuring works by Schubert, Brahms, Strauss, Rubinstein, Rachmaninov and others. He has made the world premier recording of Emil von Sauer’s complete piano music in 6 volumes. Another result of the artist’s abiding interest in little-known or forgotten music is a recording of Danish romantic piano concertos in 4 CDs.