At the bottom of the sea pressure is very high and oxygen dissolves easily. So oxygen is not a good option.
Now assume if oxygen cylinders are diluted with nitrogen is used due to high pressure at the bottom of the sea (more then 50m) Nitrogen will dissolve in the blood along with Oxygen. And when the diver comes to the surface of the sea, due to the decrease in pressure, the dissolved nitrogen will come out as bubbles this will cause severe pain called as bent.
So to avoid this oxygen is diluted with Helium which has less solubility.