There was, is,
Bill Bradley of the New York Knicks. I'm sure that there were, are, quite a few others.
I don't mean to disparage - not everybody needs to be an Oxford scholar and being so is no determiner of human grace and decency - but the exceptions prove the rule.
I would imagine that it would be quite difficult to be an Oxford scholar AND a professional athlete, given the extraordinary demands upon each. There's only so much time in the day.