Gallium oxide (β-Ga2O3) is becoming a popular material for high power electronic devices due to its wide bandgap and ease of processing. In this work, β-Ga2O3 substrates received various annealing treatments before atomic layer deposition of HfO2 and subsequent fabrication of metal–oxide–semiconductor (MOS) capacitors. Annealing of β-Ga2O3 with forming gas or nitrogen produced degraded capacitance–voltage (C–V) behavior compared to a β-Ga2O3 control sample with no annealing. A sample annealed with pure oxygen had improved C–V characteristics relative to the control sample, with a higher maximum capacitance and smaller flat-band voltage shift, indicating that oxygen annealing improved the C–V behavior. X-ray photoelectron spectroscopy also suggested a reduction in the oxygen vacancy concentration after O2 annealing at 450 °C, which supports the improved C–V characteristics and indicates that O2 annealing of β-Ga2O3 may lead to better MOS device performance.