This can be explained with the following analogy. Suppose you are doing an experiment where you measure the time period of a pendulum using a stop watch. Assume the watch has a resolution of 1s, implying that your individual measurements cannot be more accurate than 1s. So, for instance, if you measure a time interval of 9s then, you will be sure that the real time period lies between 8s and 10s i.e., \$9 \pm 1s\$. To ensure that your measurement are correct, you repeat the experiment multiple times.
Suppose you make 10 measurements as follows: 9s, 7s, 11s, 8s, 10s, 9s, 11s, 12s, 9s, 11s. You would expect that the true value of the time period will be given by the mean of these measurements, which is 9.7s. But should we round this number to 10s since the accuracy of our instrument is only 1s and fraction of a second cannot be measured? It turns out actually that the uncertainty in the mean goes down as \$\frac{1}{\sqrt{N}}\$
with the number of measurements. So, after averaging 10 measurements your uncertainty goes down to \$\frac{1}{\sqrt{10}}.1s = 0.3s\$. Thus, your measurement result should indeed be: \$9.7 \pm 0.3s\$, implying better accuracy (or resolution) compared to the individual measurements.
Same principle holds for oversampling. When you oversample a signal, you sample it at a very fast rate, much higher than the rate at which the signal is changing. Since the signal is not changing much in the consecutive samples, oversampling is identical to taking multiple measurements of the signal at a particular time. Thus an oversampling ratio (OSR) of 4 implies making 4 measurements for the signal value. The following low pass filtering stage is nothing but an averaging stage, which takes the average of all the extra samples from the previous stage, thus average of 4 samples in case OSR is 4. As explained above, for OSR of 4 the uncertainty (given by the input noise standard deviation or square root of the noise power input to the ADC) will go down by \$\frac{1}{\sqrt{4}} = 0.5\$. Thus, your SNR increases 4 times and you gain an additional bit of accuracy.