Direct driven hydraulic drives (DDH) have the advantages of compact high power density in hydraulic systems and flexible control of electric motors. These advantages can benefit non-road mobile machinery (NRMM) applications. However, maintaining high efficiency while working in sub-zero conditions with NRMM is challenging. Therefore, this paper investigates the effect of hydraulic oil on the efficiency of a DDH in a cold environment for an NRMM application. In the DDH setup, the speed and position control of a double-acting cylinder was implemented directly with an electric motor drive in a closed-loop system without the conventional control valves. Efficiency measurements of the DDH setup with two oils (conventional multi-grade and high-performance) were conducted under different operating conditions (speed and payload) and environmental conditions (temperature in °C). The paper provides an evaluation of the electro-hydraulic system and a discussion on the usage of hydraulic oil by non-road mobile working machines in sub-zero conditions. An experimental investigation demonstrated an improvement in efficiency of 5%-unit at 22 °C, from 2%-unit to 5%-unit at 3 °C, and of almost a 10%-unit at temperatures below zero (−10 °C) by changing oil.