The diffusion process of N_2, O_2 and CO_2 into VG10 machine oil had previously been observed in such a way as measuring the pressure change of gas confined to a constant volume with the oil. Although the measured pressure changes of N_2 and O_2 had been properly predicted by the diffusion theory, it had not been the case with CO_2. With suspicion that the dependency of a diffusion coefficient on the pressure could have influenced the results for CO_2, which exhibits a much larger pressure change in the course of diffusion than N_2 and O_2, the diffusion process was otherwise observed in the present study under a constant pressure, using laser heterodyne interferometry. The diffusion of CO_2 did not agree with its theoretical prediction again, which gave birth to an idea that a convective flow might occur in the oil by the density gradient produced by gas diffusion. Then Mach-Zehnder interferometry was introduced to observe gas-oil diffusion, proving natural convection did happen some time after the diffusion started. The diffusion process of CO_2 before the occurrence of natural convection agreed well with the theoretical prediction, giving reliable values of its diffusion coefficient.