Why is H2O a covalent bond?

Yes, O2 is a covalent bond.

8 valence (outer-shell) electrons is a stable configuration, which is what every atom is trying to achieve.

There are only 6 valence electrons in one single oxygen atom, which means it is looking for another two valence electrons.

Since both oxygen atoms don't want to lose any valence electrons but want to gain two valence electrons, this means that they must each share two of their own with the other atom. Hence both atoms then have eight valence electrons. But because of their sharing electrons, they are stuck together because neither wants to lose their own two valence electrons. This is a covalent bond.