Think of something crushing you, and you will understand what oppressive is. It can be something that crushes your spirit, like a bad relationship, or something that crushes you with its tyranny, like the oppressive rule of a dictator.
Oppressive comes in many flavors; laws can be oppressive, governments can be oppressive, even relationships can be oppressive. The adjective oppressive is heavy stuff; it can feel like you can't breathe, like something is choking you: "His oppressive behavior made me feel like I was being smothered." If something is just too intense, and not in a good way, that also can feel oppressive.