Dye wastewater in production process of the textile industry will cause serious environmental problems. Hydrodynamic cavitation includes many structures, such as a venturi tube, orifice, and pulsed jet. Self-excited oscillation cavitation is a kind of pulsed jet. In this paper, hydrodynamic cavitation is realized by self-excited oscillation cavitation. In this research, to study the hydrodynamic cavitation (HC) characteristics of the self-excited oscillation cavity and the degradation effect of dye wastewater, several experimental studies were carried out by selecting methylene blue as the colorant pollutant. During the experiment, the effects of experimental operating condition (including system pressure and initial solution concentration) on the degradation of methylene blue were studied, and its optimal operating conditions were obtained. And then the effects of the combination method of HC and oxidizing additives (hydrogen peroxide and ozone) on methylene blue degradation were analyzed. The results show that under the optimal system pressure of 1.4 MPa and solution concentration of 5.6 mg/L, the maximum extent of degradation is 24.90%, and the degradation rate is 2.3 × 10−3 min−1. The degradation effects of the combination methods of HC + Hydrogen peroxide and HC + Ozone can be greatly improved compared to only HC. The extent of methylene blue degradation of HC + Hydrogen peroxide is 83.70%, the degradation rate is 14.9 × 10−3 min−1, and the synergy index is 3.63; the extent of degradation of HC + Ozone is 92.62%, the degradation rate is 37.7 × 10−3 min−1, and the synergy index is 5.80. The lowest cost of the HC + Ozone combination method is 9.797 USD/m3, thereby the comparison of cavitation yield and energy consumption cost shows that HC + Ozone is the preferential combination treatment method. This study will not only play a significantly guiding role on the optimization of process parameters of SEOC for AOPs to obtain the preferable cavitation effect, but also provide support for the development of hybrid AOPs for wastewater treatment in the direction of large-scale application.