Microvasculature hemoglobin oxygen saturation ($\ce{SaO2}$) is important in the progression of various pathologies. Non-invasive depth-resolved measurement of $\ce{SaO2}$ levels in tissue microvasculature has the potential to provide early biomarkers and a better understanding of the pathophysiological processes allowing improved diagnostics and prediction of disease progression. We report proof-of-concept in vivo depth-resolved measurement of $\ce{SaO2}$ levels in selected 30 µm diameter arterioles in the murine brain using Dual-Wavelength Photothermal (DWP) Optical Coherence Tomography (OCT) with 800 nm and 770 nm photothermal excitation wavelengths. Depth location of back-reflected light from a target arteriole was confirmed using Doppler and speckle contrast OCT images. $\ce{SaO2}$ measured in a murine arteriole with DWP-OCT is linearly correlated ($R^2=0.98$) with systemic $\ce{SaO2}$ values recorded by a pulse-oximeter. DWP-OCT are steadily lower (10.1%) than systemic $\ce{SaO2}$ values except during pure oxygen breathing. DWP-OCT is insensitive to OCT intensity variations and is a candidate approach for in vivo depth-resolved quantitative imaging of microvascular $\ce{SaO2}$ levels.