The moral of Oedipus Rex is that it is useless to try to escape the power of fate. Oedipus's attempt to bypass the prophecy which states he will kill his father and sleep with his mother ironically leads to the fulfillment of these awful conditions. Had he not run away from his adopted parents, Polybus and Merope, in Corinth, he would have never crossed paths with his biological parents, Laius and Jocasta.
Another moral of the play would be the physical and emotional downfall that comes with pride. By the time Oedipus becomes king of Thebes, he believes he has overcome the prophecy. He is now successful in every way: a happy husband, a proud father, and a respected leader. When repeatedly warned against investigating who is the cause of the plague, he never suspects that the perpetrator could be himself. When he realizes the truth, the shock to his pride (not to mention the horror that comes with realizing one has committed incest) is so great that he mutilates his eyes. In trying to preserve Thebes, he ends up losing everything, including his prideful mindset.
These two themes tie together. Pride is part of what motivates Oedipus to try to sidestep his destiny. It is also what keeps him from heeding the warnings of Teiresias and Jocasta.
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The moral lesson in Oedipus Rex, as the other answers have indicated, is that it is impossible to escape one's destiny and a sin to try to do so.
In the Greek worldview, one of the worst sins a person could commit was to think he knew better than the gods. This is what Oedipus does when he attempts to escape his god-ordained fate.
One feels for Oedipus, as he is handed a terrible future. The prophets foretell that he is destined to kill his father and marry his mother. Most people would try to escape a future that has such terrible consequences for their parents.
Oedipus is trying to protect the people he loves, as he flees Corinth and the parents he thought were his birth parents. It cannot have been easy for him to leave behind everything he knew. Nevertheless, his pride or hubris is to think he has actually won against the gods. It seems never once to have occurred to him that the man he killed in the road was his father or that the woman, Jocasta, he married in Thebes his mother. He goes on complacently year after year thinking he has beaten the gods—until he is confronted with the plague in Thebes.
What the gods have decreed will occur, as the play illustrates: Oedipus, in the end, accepts that wisdom.
The overriding moral of the play is that no one can control their own destiny; only the gods can do that. Filled with overweening pride and vanity, Oedipus foolishly believes that he can defy fate—and, by extension, the gods—and he comes to grief as a result. Oedipus's hubris is a function of his role as...
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king. Because he is king, he thinks he can do pretty much anything he likes, including control his own destiny. But Oedipus's power, though absolute in Thebes, means nothing in the overall scheme of things. From the gods' perspective, his earthly power is but a mere shadow of their divine power to shape and control each man's fate. In attempting to defy fate, Oedipus is acting like a god, and this is blasphemous in the extreme. This in itself is an important moral of the story: when men start acting like gods, the end result can only be tragic, both for themselves and for others.
The moral of Oedipus Rex is that pride goes before the fall. Oedipus has immense pride, so much pride that he believes he can outsmart the gods who prophesied, via the oracle of Delphi, that he would kill his father and marry his mother. When the oracle gave him this prophecy, he decided that he would simply not return home to Corinth, and he would avoid his parents Polybus and Merope, so that the oracle's words could not come true. However, it is actually this proud decision that enables the prophecy to come to fruition. Oedipus doesn't know that he is adopted and that Polybus and Merope are not his birth parents, so when he decides to go to Thebes instead of home to Corinth, his pride—thinking that he knows more than the gods who inspire the oracle—leads him into the very danger he sought to avoid.
Further, when he calls the prophet Teiresias to town to speak with him, Oedipus refuses to accept the prophet's words and, again, becomes proudly angry when the prophet insists that he knows better than Oedipus. Teiresias tries to protect Oedipus from the truth, and Oedipus sees only that the prophet refuses to answer his questions. Again, he thinks he knows best, better than a man who is given the divine gift of prophecy from the gods. This pride leads to his downfall.
The moral of the play is that you cannot escape fate, no matter how hard you try. Jocasta and Laius thought they could outsmart fate by exposing their infant son to the elements, which would lead to his death. They didn't count on fate's stepping in and having a kind-hearted shepherd give the baby to another shepherd, who eventually gave the child to King Polybos. Oedipus, thinking he was the son of Polybos, would never imagine killing his own father. But that's what he did when he killed Laius. And everyone was horrified when they learned that fate had succeeded in fully carrying out the prophecy by having Oedipus marrying and have children with his own mother.
To paraphrase the old commercial, "It's not nice to fool Fate!"
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What does Oedipus Rex teach us?
The principal lesson of Oedipus Rex is that there is no escape from the workings of fate. Tragedy overtakes the best and wisest of humanity. King Laius attempted to ensure that he would not be killed by his son, as the Oracle prophesied, but Oedipus survived to kill him anyway. Oedipus, like Laius, cannot escape his fate, and there is a tragic irony in the determination with which he spends most of the play tracking down a killer who turns out to be none other than himself.
The ancient Greeks believed that even the gods were subject to fate, so no mortal, however wise or virtuous, could hope to escape. The Spanish philosopher and classicist Miguel da Unamuno referred to this idea as "the tragic sense of life" and felt that it was being lost in twentieth-century culture. Possibly because life has become much more comfortable for many people, there is a widespread idea that if you do the right things, you will succeed. If you fail, either you or someone else must be to blame for that failure. This is a way of thinking that became popular in the nineteenth century, with such books as Self-Help by Samuel Smiles preaching a gospel of individualism and responsibility. Oedipus Rex argues against this type of thinking, teaching that tragedy is part of life.