A phosphodiester bond occurs when exactly two of the hydroxyl groups in phosphoric acid react with hydroxyl groups on other molecules to form two ester bonds.
But what happens to the third hydroxyl group; i.e. why is it an oxygen and not hydroxyl?
At physiological pH it is simply deprotonated, i.e. it becomes $\ce{-O-}$ instead of $\ce{-OH}$. That's why DNA is said to have a negative charge.
I realise that this image on Wikipedia omits the negative charge, which is strictly wrong (the negative charge is probably implied because writing it out every time would clutter the diagram). A proper biochemistry textbook will show that it is deprotonated. Here's an image from Berg & Stryer's Biochemistry, 7th ed:
Here's one from Alberts et al. Molecular Biology of the Cell, 6th ed:
Whether you draw the negative charge as being delocalised across the two oxygens (as Berg & Stryer have done) or being localised on one oxygen (as it is in MBotC) is not relevant.