This is a good question. Foreshadowing is a powerful tool and it is all over the place in Oedipus Rex. Let me give you two examples.
First, the play opens up and you immediately know that not all is well. There is a plague and the citizenry of Thebes is in anguish. Moreover, all things living are being hurt by this plague. Moreover, this plague will not let up. There is a sense that there is a contagion. As the work progresses, there is a sense that this contagion might be a person. It is slowly revealed that it is Oedipus.
Second, the interaction between Oedipus and the blind seer, Tiresias, is also important from a foreshadowing point of view. This interaction begs the question of who is really blind. Is it not Oedipus? At the end of the play, he blinds himself. Ironically at this point, he really sees.