Oxygen dissolves in water - one of the components of a fishtank is one that bubbles oxygen into the water to keep it oxygenated, but it happens naturally too via different processes. It is this oxygen that fish breathe.
Only the top 'layer' of the ocean is particularly oxygen rich, below this, it is colder and poor in oxygen. However water from the top level can become cold and salty under some circumstances, the increased density makes it sink. This is how oxygenated water is brought downwards for bottom-dwelling animals.
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