Do "good lord" and "oh jesus" have the similar meaning?
That's correct! "(Good) lord," "(oh) Jesus," "oh my god," "(oh) god," and so on are all informal exclamations used to express surprise, shock, frustration, or annoyance about something. You can choose to leave out the "oh," as it would still have the same effect it. Ex. A: Did you hear? My dog gave birth to ten puppies last night! B: Good lord! So many puppies!