In this Letter, we present an experimental study of the collective dipole oscillation of a spin-orbit coupled Bose-Einstein condensate in a harmonic trap. The dynamics of the center-of-mass dipole oscillation is studied in a broad parameter region as a function of spin-orbit coupling parameters as well as the oscillation amplitude. The anharmonic properties beyond the effective-mass approximation are revealed, such as the amplitude-dependent frequency and finite oscillation frequency at a place with a divergent effective mass. These anharmonic behaviors agree quantitatively with variational wave-function calculations. Moreover, we experimentally demonstrate a unique feature of the spin-orbit coupled system predicted by a sum-rule approach, stating that spin polarization susceptibility--a static physical quantity--can be measured via the dynamics of dipole oscillation. The divergence of polarization susceptibility is observed at the quantum phase transition that separates the magnetic nonzero-momentum condensate from the nonmagnetic zero-momentum phase. The good agreement between the experimental and theoretical results provides a benchmark for recently developed theoretical approaches.