Preheat the oven to 350 F. In a large bowl, mix together cake mix, oats, peanut butter, eggs, and vegetable oil until smooth. Fold in the chocolate chips and M&Ms.
Place the cookie dough onto a large ungreased baking sheet at least 2-inches apart. Place one Oreo cookie on each cookie dough and cover fully with more cookie dough. Bake for 10-12 minutes.