Molybdenum nitride (Mo–N) catalysts have shown promising activity and stability for the oxygen reduction reaction (ORR) in acid. However, the effect of oxygen (O) incorporation (from synthesis, catalysis, or exposure to air) on their activity remains elusive. Here, we use reactive sputtering to synthesize three compositions of thin-film catalysts and use extensive materials characterization to investigate the depth-dependent structure and incorporated O. We show that the as-deposited Mo–N films are highly oxidized both at the surface (>30% O) and in the bulk (3–21% O) and that the ORR performance is strongly correlated with the bulk structure and composition. Activity for 4e– ORR is highest for compositions with the highest N/O and N/Mo ratio. Furthermore, H2O2 production for the films with moderate O content is comparable to or higher than the most H2O2-selective nonprecious metal catalysts in acidic electrolyte, on a moles per mass or surface area of catalyst basis. Density functional theory provides insight into the energetics of O incorporation and vacancy formation, and we hypothesize that activity trends with O/N ratios can be traced to the varying crystallite phases and their interactions with ORR adsorbates. This work demonstrates the prevalence and significance of O in metal nitride electrocatalysts and motivates further investigation into the role of O in other nonprecious metal materials.