Prepare grill for medium-hot coals.
Slice pork loin into 1-inch-thick medallions; brush with oil. Grill, basting with remaining oil, 5 minutes on each side or until internal temperature of pork reaches 145ºF. to 155ºF.
Meanwhile, in small bowl, mix sour cream and horseradish. Refrigerate until serving time. Serve pork with horseradish sauce.