Hi Paulwin, this is very similar to the expression "oh my god!" which is used to express a feeling of disbelief or surprise. ex. Your male friend comes to meet you at a restaurant one day wearing a dress (he has never worn women's clothing before) and you might say to yourself "Oh my goodness!" The original "Oh my god" comes from the longer "Oh my god, save me from...". In past times this was said as a kind of prayer asking for protection from something. Over the years to avoid offending different religious or non-religious groups this expression changed to "oh my goodness" or just "goodness". Keep in mind that this phrase is much milder than "oh my god". Another similar phrase to "oh my goodness" is "oh my gosh".

Exclamations like "oh my goodness", "goodness gracious" or "oh my dear" are all meant to express surprise mainly, but usually with the connotation of slight feelings of scandalization. It is a polite way to respond to being surprised or shocked, rather than yelling or cursing.