He might have had some tragic story when he was little but I think the reason is the exact same problem Sasuke had with Naruto: he thinks he uber-powerful and can't be beaten by his rival...but Jiryaia shows that at least he is on equal(if not stronger) footing then him.
Another insult to injury to Oro would be that the 3rd selected the Fourth Hokage, it was Jiryaia's student.