Good question! Most of the inner planets (Mercury, Venus, Earth, Mars) have oxygen in their atmospheres. Oxygen is actually the most abundant gas in Mercury’s atmosphere, though Mercury’s “trace” atmosphere is very thin (less than one trillionth of the pressure of Earth’s atmosphere; planets' composition I’ve included a useful chart from NASA which compares the pressure and composition of the atmospheres of the planets in the Solar System.

There are no planets in our solar system with atmospheres that have more than a tiny amount of oxygen. Mars may have had some oxygen many millions of years ago. Also, since there are millions of planets around other stars, many of them likely have atmospheres with oxygen, but, we don't know this for sure. But, the possibilities are pretty much endless!

Mars has trace amounts of oxygen in its atmosphere, and may have had more in the past. This may be evidence for Martian life, but this is very uncertain.