Oxygen is the third most abundant material in the universe. It’s made at the end of the helium fusion process in massive stars, and our sun is 0.9% oxygen by mass.

There’s oxygen on Mars and Venus too, but in insufficient quantities to support the oxygen cycle. The fact that we have the oxygen cycle (part of that being photosynthesis) is why Earth has a much higher amount of oxygen, but it’s not the only source of it.