Tubular oxide optical microcavities with thin walls (< 100 nm) have been fabricated by releasing pre-stressed Y2O3/ZrO2 bi-layered nanomembranes. Optical characterization demonstrates strong whispering gallery modes with a high quality-factor and fine structures in the visible range, which are due to their high-index-contrast property (high refractive index in thin walls). Moreover, the strong axial light confinement observed in rolled-up circular nanomembranes well agrees with our theoretical calculation by using Mie scattering theory. Novel material design and superior optical resonant properties in such self-rolled micro-tubular cavities promise many potential applications e.g. in optofluidic sensing and lasing.