For the application of Nd–Fe–B magnets at high temperatures, it is imperative to enhance their coercivity. Grain boundary diffusion using small quantities of dysprosium (Dy) is a significant method to enhance the coercivity of Nd–Fe–B magnets. However, the high oxygen content in the Nd–Fe–B magnet oxidizes the introduced Dy in the Nd-rich phase, which decreases the availability of Dy to generate the (Nd, Dy)₂Fe₁₄B phase and, therefore, requiring the addition of increasing amounts of precious Dy. In the present study, the thermodynamic property of oxygen in the Nd-rich phase was estimated by measuring the oxygen solubility in the molten Nd–Dy alloy (at 1673 K) and molten Dy metal (between 1773 and 1873 K). Additionally, the standard Gibbs energies for the oxygen dissolution into the molten Nd–Dy alloy and Dy metal were derived from experimental results. The results indicated that the affinity between oxygen and the molten Nd–Dy alloy gradually increased with the increasing Dy concentration in the Nd–Dy alloy. Thus, the oxygen solubility in the Nd-rich phase was estimated based on experimental results.