The diffusion of CO2 into oil and water are studied experimentally. The solubility of CO2 in the oil-water mixture and the density of CO2-saturated liquid are measured, and the pressure-decay method is used to measure effective diffusivity of CO2 in oil and water. It is found that the solubility of CO2 in oil-water mixture can be determined by that of CO2 in oil and water, respectively. With the dissolution of CO2 into water and oil, concentration-induced density gradient causes natural convection and accelerates the diffusion process. The determined effective diffusivities are almost two orders of magnitude larger than the molecular diffusivities.