Oxygen is the only elemental molecule which carries an electronic magnetic moment. As a consequence, the different solid phases encountered on cooling show various degrees of magnetic order, and similar behavior is expected under compression. Here we present neutron diffraction data which reveal the magnetic ordering under high pressure in the delta ("orange") phase, i.e., in the range 6-8 GPa and 20-240 K. We show that delta-O2 contains in total three different magnetic structures, all of them being antiferromagnetic and differing in the stacking sequence of O2 sheets along the c axis. This structural diversity can be explained by the quasi-two-dimensional nature of delta-O2 and the strong orientation dependence of the magnetic exchange interaction between O2 molecules. The results show that delta-O2 is a room temperature antiferromagnet.