The rank $n$ symplectic oscillator Lie algebra $mathfrak{g}_n$ is the semidirect product of the symplectic Lie algebra $mathfrak{sp}_{2n}$ and the Heisenberg Lie algebra $H_n$. In this paper, we study weight modules with finite dimensional weight spaces over $mathfrak{g}_n$. When $dot z eq 0$, it is shown that there is an equivalence between the full subcategory $mathcal{O}_{mathfrak{g}_n}[dot z]$ of the BGG category $mathcal{O}_{mathfrak{g}_n}$ for $mathfrak{g}_n$ and the BGG category $mathcal{O}_{mathfrak{sp}_{2n}}$ for $mathfrak{sp}_{2n}$. Then using the technique of localization and the structure of generalized highest weight modules, we also give the classification of simple weight modules over $mathfrak{g}_n$ with finite-dimensional weight spaces.
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