In Oedipus Rex, two unresolved crimes have plagued the royal house of Thebes: incest (with the mother) and patricide (murder of the father). As such, the gods are punishing the city with a plague. These are the two worst crimes in the ancient Greek tradition, as they destroy not only the family but the fabric of society. To have these two crimes in the royal house brought about swift retribution by the gods.
This is the second major plague that has descended on the city. The first plague, in which the Sphinx held the city hostage, took place just before Oedipus got there. The Sphinx's destruction was presumably a punishment for Laius and Jocasta' crime of attempted infanticide against Oedipus.
I assume that you are asking what is wrong in the city of Thebes at the start of the play. If that is the case, there are a number of things wrong. In general, things are going very badly for the city and that is why the people want to find out the cause of the troubles.
Among the problems are plague, fires, and famine. These things have been killing people and animals and the city is in bad shape.
As it turns out, the Oracle and Delphi says that all of these problems are happening because the previous king, Laius, had been murdered.