Background: Oxaliplatin-associated shock (referred to as shock) is a rare but life-threatening adverse event. Objectives: This pioneering cohort study aimed to quantitatively investigate the association between oxaliplatin use and shock in patients with stage III colorectal cancer (CRC), identify potential independent risk factors for shock, and assess the cycle-to-shock during oxaliplatin treatment. Design: The study utilized a nested case–control (NCC) design to assess the association between oxaliplatin and shock and employed a case-crossover approach to address unmeasured confounders. Methods: All newly diagnosed stage III CRC patients were identified from the CRC Health Database (2012–2016). Conditional logistic regression was used to calculate odds ratios (OR) and 95% confidence intervals (CIs) for oxaliplatin’s link to shock incidence. Results: Among 6932 oxaliplatin recipients, 331 suffered shock. In all, 3309 controls were selected via risk-set sampling for the shock cases. Oxaliplatin use is associated with a doubled risk of shock (adjusted OR: 2.08, 95% CI: 1.23–3.52). Two independent risk factors were male sex (adjusted OR: 1.33, 95% CI: 1.05–1.69) and heart diseases (adjusted OR: 1.65, 95% CI: 1.17–2.32). The case-crossover analysis revealed a more than fourfold risk (OR: 4.4, 95% CI: 1.67–11.62). In total, 22 of 331 shock cases were exposed to oxaliplatin within 2 days of shock onset, with a median cycle-to-shock time at the seventh cycle. Conclusion: Oxaliplatin use significantly increased shock risk in stage III CRC patients. Male sex and heart disease are two independent risk factors.