In this work, we study advection-robust Hybrid High-Order discretizations of the Oseen equations. For a given integer $k\ge 0$, the discrete velocity unknowns are vector-valued polynomials of total degree $\le k$ on mesh elements and faces, while the pressure unknowns are discontinuous polynomials of total degree $\le k$ on the mesh. From the discrete unknowns, three relevant quantities are reconstructed inside each element: a velocity of total degree $\le(k+1)$, a discrete advective derivative, and a discrete divergence. These reconstructions are used to formulate the discretizations of the viscous, advective, and velocity-pressure coupling terms, respectively. Well-posedness is ensured through appropriate high-order stabilization terms. We prove energy error estimates that are advection-robust for the velocity, and show that each mesh element $T$ of diameter $h_T$ contributes to the discretization error with an $\mathcal{O}(h_T^{k+1})$-term in the diffusion-dominated regime, an $\mathcal{O}(h_T^{k+\frac12})$-term in the advection-dominated regime, and scales with intermediate powers of $h_T$ in between. Numerical results complete the exposition.