Oily sludge, a natural by-product of the petroleum industry, is a hazardous waste that is challenging to dispose of. In this paper, degradation of pollutants and heavy metal migration in supercritical water oxidation (SCWO) were studied, illuminating the influence and behavior mechanisms of auxiliary fuels. First, it was determined how reaction parameters affected C and N degradation as well as products for oily sludge SCWO with methanol. With addition of 800 mmol/L methanol, the removal efficiencies of TOC and TN at 550 °C were 97.9% and 67.0%, respectively. Organic materials could not completely decompose due to long-chain alkanes. The evaluation of auxiliary fuel type and injection technique revealed excellent enhanced degradation effect of ethylene glycol and improvement result of two-stage injection. Finally, the distribution of heavy metals before and after SCWO reaction was investigated. Heavy metals were stabilized, and the aqueous product and solid residual both met heavy metal discharge criteria.