From Destinypedia, the Destiny wiki

Osmium is a metallic element, notable for being the densest naturally occurring element. It is the 76th element on the periodic table, and has the elemental symbol Os. It composed the majority of the Osmium Court on the planet Fundament.

It can be found throughout Savathûn's Throne World in the form of Fundamental Osmium, or requisitioned from enemies during patrols as Osmium Shards.