Endoscopic optical coherence tomography (OCT) devices are capable of generating high-resolution images of esophageal structures at high speed. To make the obtained data easy to interpret and reveal the clinical significance, an automatic segmentation algorithm is needed. This work proposes a fast algorithm combining sparse Bayesian learning and graph search (termed as SBGS) to automatically identify six layer boundaries on esophageal OCT images. The SBGS first extracts features, including multi-scale gradients, averages and Gabor wavelet coefficients, to train the sparse Bayesian classifier, which is used to generate probability maps indicating boundary positions. Given these probability maps, the graph search method is employed to create the final continuous smooth boundaries. The segmentation performance of the proposed SBGS algorithm was verified by esophageal OCT images from healthy guinea pigs and the eosinophilic esophagitis (EoE) models. Experiments confirmed that the SBGS method is able to implement robust esophageal segmentation for all the tested cases. In addition, benefiting from the sparse model of SBGS, the segmentation efficiency is significantly improved compared to other widely used techniques.