In this text I will explain what makes OpenBSD secure by default when you install it. Do not take this for a security analysis, but more like a guide to help you understand what is done by OpenBSD to have a secure environment. The purpose of this text is not to compare OpenBSD to other OSes but to say what you can honestly expect from OpenBSD.
There are no security without a threat model, I always consider the following cases: computer stolen at home by a thief, remote attacks trying to exploit running services, exploit of user network clients.
Here is a list of features that I consider important for an operating system security. While not every item from the following list are strictly security features, they help having a strict system that prevent software to misbehave and lead to unknown lands.
In my opinion security is not only about preventing remote attackers to penetrate the system, but also to prevent programs or users to make the system unusable.
Pledge / unveil on userland
Pledge and unveil are often referred together although they can be used independently. Pledge is a system call to restrict the permissions of a program at some point in its source code, permissions can't be get back once pledge has been called. Unveil is a system call that will hide all the file system to the process except the paths that are unveiled, it is possible to choose what permissions is allowed for the paths.
Both a very effective and powerful surgical security tools but they require some modification within the source code of a software, but adding them requires a deep understanding on what the software is doing. It is not always possible to forbid some system calls to a software that requires to do almost anything, software designed with privilege separation are better candidate for a proper pledge addition because each part has its own job.
Some software in packages have received pledge or/and unveil support, like Chromium or Firefox for the most well known.
Most of the base system services used within OpenBSD runs using a privilege separation pattern. Each part of a daemon is restricted to the minimum required. A monolithic daemon would have to read/write files, accept network connections, send messages to the log, in case of security breach this allows a huge attack surface. By separating a daemon in multiple parts, this allow a more fine grained control of each workers, and using pledge and unveil system calls, it's possible to set limits and highly reduce damage in case a worker is hacked.
The daemon server is started by default to keep the clock synchronized with time servers. A reference TLS server is used to challenge the time servers. Keeping a computer with its clock synchronized is very important. This is not really a security feature but you can't be serious if you use a computer on a network without its time synchronized.
X display not as root
If you use the X, it drops privileges to _x11 user, it runs as unpriviliged user instead of root, so in case of security issue this prevent an attacker of accessing through a X11 bug more than what it should.
Default resources limits prevent a program to use too much memory, too many open files or too many processes. While this can prevent some huge programs to run with the default settings, this also helps finding file descriptor leaks, prevent a fork bomb or a simple daemon to steal all the memory leading to a crash.
Genuine full disk encryption
When you install OpenBSD using a full disk encryption setup, everything will be locked down by the passphrase at the bootloader step, you can't access the kernel or anything of the system without the passphrase.
Most programs on OpenBSD aren't allowed to map memory with Write AND Execution bit at the same time (W^X means Write XOR Exec), this can prevents an interpreter to have its memory modified and executed. Some packages aren't compliant to this and must be linked with a specific library to bypass this restriction AND must be run from a partition with the "wxallowed" option.
Only one reliable randomness source
When your system requires a random number (and it does very often), OpenBSD only provides one API to get a random number and they are really random and can't be exhausted. A good random number generator (RNG) is important for many cryptography requirements.
OpenBSD comes with a full documentation in its man pages. One should be able to fully configure their system using only the man pages. Man pages comes with CAVEATS or BUGS sections sometimes, it's important to take care about those sections. It is better to read the documentation and understand what has to be done in order to configure a system instead of following an outdated and anonymous text available on the Internet.
IPSec and Wireguard out of the box
If you need to setup a VPN, you can use IPSec or Wireguard protocols only using the base system, no package required.
OpenBSD has many safeties in regards to memory allocation and will prevent use after free or unsafe memory usage very aggressively, this is often a source of crash for some software from packages because OpenBSD is very strict when you want to use the memory. This helps finding memory misuses and will kill software misbehaving.
Dedicated root account
When you install the system, a root account is created and its password is asked, then you create an user that will be member of "wheel" group, allowing it to switch user to root with root's password. doas (OpenBSD base system equivalent of sudo) isn't configured by default. With the default installation, the root password is required to do any root action. I think a dedicated root account that can be logged in without use of doas/sudo is better than a misconfigured doas/sudo allowing every thing only if you know the user password.
Small network attack surface
The only services that could be enabled at installation time listening on the network are OpenSSH (asked at install time with default = yes), dhclient (if you choose dhcp) and slaacd (if you use ipv6 in automatic configuration).
By default the OpenBSD swap is encrypted, meaning if programs memory are sent to the swap nobody can recover it later.
Due to a heavy number of security breaches due to SMT (like hyperthreading), the default installation disables the logical cores to prevent any data leak.
Micro and Webcam disabled
With the default installation, both microphone and webcam won't actually record anything except blank video/sound until you set a sysctl for this.
Maintainability, release often, update often
The OpenBSD team publish a new release a new version every six months and only last two releases receives security updates. This allows to upgrade often but without pain, the upgrade process are small steps twice a year that help keep the whole system up to date. This avoids the fear of a huge upgrade and never doing it and I consider it a huge security bonus. Most OpenBSD around are running latest versions.
Signify chain of trust
Installer, archives and packages are signed using signify public/private keys. OpenBSD installations comes with the release and release n+1 keys to check the packages authenticity. A key is used only six months and new keys are received in each new release allowing to build a chain of trust. Signify keys are very small and are published on many medias to double check when you need to bootstrap this chain of trust.
While most of the previous items were about the base system or the kernel, the packages also have a few tricks to offer.
Chroot by default when available
Most daemons that are available offering a chroot feature will have it enabled by default. In some circumstances like for Nginx web server, the software is patched by the OpenBSD team to enable chroot which is not an official feature.
Dedicated users for services
Most packages that provide a server also create a new dedicated user for this exact service, allowing more privilege separation in case of security issue in one service.
Installing a service doesn't enable it
When you install a service, it doesn't get enabled by default. You will have to configure the system to enable it at boot. There is a single /etc/rc.conf.local file that can be used to see what is enabled at boot, this can be manipulated using rcctl command. Forcing the user to enable services makes the system administrator fully aware of what is running on the system, which is good point for security.
Most of the previous "security features" should be considered good practices and not features. Many good practices such as the following could be easily implemented into most systems: Limiting users resources, reducing daemon privileges, memory usage strictness, providing a good documentation, start the least required services and provide the user a clean default installation.
There are also many other features that have been added and which I don't fully understand, and that I prefer letting the reader take notice.