Non-invasive depth-resolved measurement of hemoglobin oxygen saturation (SaO(2)) levels in discrete blood vessels may have implications for diagnosis and treatment of various pathologies. We introduce a novel Dual-Wavelength Photothermal (DWP) Optical Coherence Tomography (OCT) for non-invasive depth-resolved measurement of SaO(2) levels in a blood vessel phantom. DWP OCT SaO(2) is linearly correlated with blood-gas SaO(2) measurements. We demonstrate 6.3% precision in SaO(2) levels measured a phantom blood vessel using DWP-OCT with 800 and 765 nm excitation wavelengths. Sources of uncertainty in SaO(2) levels measured with DWP-OCT are identified and characterized.