The check engine light means your car's computer has logged a fault code. That's all. It doesn't say what part failed, and it doesn't say how serious the problem is. A loose gas cap and a failing catalytic converter turn on the same light.
The first step is reading the code with a scan tool, and the second step is the one that matters: testing the circuit or component the code points to. A code for an oxygen sensor doesn't always mean the sensor is bad. It can mean an exhaust leak, a wiring fault, or a fuel-mixture problem upstream. Replacing parts based on the code alone is how people spend $400 and still have the light on.
A steady light usually means you can keep driving and get it checked soon. A flashing light means an active misfire that's dumping unburned fuel into the exhaust, and that can destroy a catalytic converter in a matter of miles. If it's flashing, pull over and call.
In Massachusetts the check engine light is also an automatic inspection failure, so the light isn't just a warning, it's a deadline. A mobile diagnostic at your driveway gets you the answer without a shop visit, and if it's something simple, it's often fixed on the same trip.