We report on a multiparticle coincidence experiment performed at the European X-ray Free-Electron Laser at the Small Quantum Systems instrument using a COLTRIMS reaction microscope. By measuring two ions and two electrons in coincidence, we investigate double core-hole generation in O_{2} molecules in the gas phase. Single-site and two-site double core holes have been identified and their molecular-frame electron angular distributions have been obtained for a breakup of the oxygen molecule into two doubly charged ions. The measured distributions are compared to results of calculations performed within the frozen- and relaxed-core Hartree-Fock approximations.