There is no federal law requiring you to have health insurance, but Oklahoma does have a state requirement for insurance. So, the answer is yes, if you live in Oklahoma, you must have health insurance.
You can get health insurance through your employer, on your own through the marketplace, or through a government program like Medicaid or Medicare.
If you don't have health insurance, you'll have to pay a fee when you file your taxes. The fee for not having coverage in 2018 is 2.5% of your annual household income or $695 per adult ($347.50 per child), whichever is higher.
You may be able to avoid the fee if you qualify for an exemption. For example, you may be exempt if you're a member of a federally recognized tribe or eligible for religious conscience protections.
You can find more information on the Oklahoma Health Care Authority website.