Londoner Debby Lee says she encountered the group, who were carrying signs bearing reference to Hebrews and Israel, at about 5.30pm on Saturday July 28.
Mrs Lee says she stopped to listen to the men, and challenged a statement one of them made about Israel.
"They turned around and said there was no Holocaust, it was a lie," she said.
"I said 'really, that's news to me, maybe you can tell me where 40 members of my family disappeared to?'"
Mrs Lee has since filed a report with the police, and also contacted Westminster City Council and the London Mayor's office.
"What worries me is that, one; they are saying 'this is the truth,' and two; that they are purposefully targeting young black guys, and they're saying 'I'm your brother, listen to the truth,' then telling them the Holocaust isn't the truth," Mrs Lee said.
"I'd never imagined on the streets of London I'd see that stuff... it was so open, so much hate toward my people on the streets of a country I was born in."
"Police in Westminster are investigating an alleged incident of hate crime relating to a group of speakers in Oxford Street on Saturday July 28," a Metropolitan Police spokeswoman confirmed on Thursday.
A Westminster council spokesman said: “Any behaviour on Westminster’s streets which incites racial hatred is illegal, as it is anywhere else in the UK.
"There is an obvious common-sense divide between the UK’s tradition of free speech and remarks which cross a line into actively promoting hatred."
West End councillor Pancho Lewis said: “This is truly shocking. There should be no place for hate preachers in the West End and indeed anywhere else - this kind of behaviour needs to be stamped out."