Ozma was given a task by the God of Light to act as a guide for Humanity. He also left with him the Relics, that when brought together would summon the Gods back to Remnant. Over thousands of years, he has been protecting Humanity against the forces of Salem, who wishes to see them destroyed.
After having saved a town from the Grimm and revealing his Magic and immortality to them, the people worshipped Ozma as a deity, much to his dismay. They would follow his example, traveling with Ozma throughout Remnant helping those in need and training their Aura and Semblance to fight threats to the world, eventually calling themselves The Circle. Ozma would build connections and trust in the group, which would form a settlement over time. When a group of warriors appeared, Circle was slaughtered and was made an example of as to not put your faith in one man. It is unknown if the group was then re-organized, but Qrow Branwen refers to Ozpin's Group as his "Inner Circle," indicating a spiritual successor.
Salem is Ozma's former wife. They first met when he freed her from imprisonment by her cruel father. She deeply loved him and grieved horribly upon his death by the way of illness. Ozma was important enough for her, to decide to go against the Gods in order to get him back.
When the God of Light offered him the chance to return to the living, Ozma initially rejected the offer, believing that it would not be the same without Salem by his side, showing how much he cared for her. The only reason Ozma accepted was because the God of Light told him Salem was still alive. Though when the God warned him that Salem was no longer the woman he loved, he still took the offer if only to see what had become of her.
When Ozma and Salem encountered each other again centuries later, despite the many changes they'd gone through, the two instantly recognized one another and shared a heartfelt reunion. Though when they discussed their circumstances, Ozma lied to Salem, afraid she would feel betrayed once she learned why he had been reincarnated. Together, the two of them used their powerful magic to portray themselves as gods to Humanity and the two formed a Kingdom together. The two finally got married and formed a happy family, with Salem giving birth to four daughters.
However, Ozma's lingering guilt overtook him and he confessed to Salem why the Gods brought him back to life. Sadly, Ozma's worst fears about the God of Light's assessment of Salem's change proved true when Salem proposed a plan to exterminate Humanity and replace them with a species in their vision. Horrified at what she had become, Ozma tried sneaking their daughters out of the castle but Salem caught him in the act. The two fought a lengthy battle that resulted in the deaths of their daughters. Flipping an injured Ozma on his stomach after he tried crawling to safety and stomping on his chest with her foot. Salem condemned Ozma for choosing his promise to the Gods over their family, and burned him alive. Thus the millennia-long feud between the two began.
Not much interaction has been shown between him and his daughters, but he loved and cared for them deeply. After realizing how ruthless and disdainful of Humanity Salem had became Ozma tried to leave with them to protect them from her but it resulted in their tragic deaths when Salem caught them leaving and consequently fought with Ozma, accidently killing them in the crossfire.
It is unknown if he still feels love and grief over their fate.
During his Settler incarnation, it was shown he had a family consisting of a wife and two children. He presumably loved them a great deal, as he headed out to protect their village against an invasion of Grimm.
The unnamed woman in The Infinite Man was Ozma's most loyal and trusted follower during his time under the identity.
When she was a young girl, the woman watched Ozma defend her town from the Grimm using magic, and quickly realized he was too powerful to be a Dust wielder. Ozma affirmed her suspicions, also telling her his life was like a circle and that he was immortal, but warned her that he was just a man, and not even a very good one. That night, Ozma tried to sneak away, but was approached by the girl and several other townspeople who pledged their undying faith in Ozma, seeing him as a deity of sorts to Ozma's dismay. The group would go around Remnant saving those in peril, and Ozma would build a close and intimate relationship with the young girl. When Ozma was poisoned by an unnamed traitor, the follower was at his bedside, pledging to avenge him. Ozma told her to simply leave him be, as he was just a man, and not a very good one.
Years later, Ozma's second incarnation as the Infinite Man reunited with the woman after he returned to The Circle, which had expanded immensely. The woman, overjoyed to see him return, tells Ozma of The Circle's activities in continuing his works, and convinces him to stay with her and The Circle.
After being killed by a warrior when defending The Circle, Ozma returns in a new incarnation to find that the woman had lost an arm and an eye. Unrecognizing of Ozma, the woman explained that everyone else was slaughtered, and she laments that she was spared to show the world the folly of placing all their hopes into one man, now disillusioned into thinking he was not a good man. Ozma knew that if she asked who he was, he would not be able to lie to her, as painful as the truth would be. But she didn’t, and that hurt him even more. The woman turned to walk away, and he let her go, ending The Circle.
The original "Infinite Man" incarnation of Ozma was poisoned and killed by an unnamed traitor, who wanted to see if Ozma's alleged immortality was true. After the traitor ran away, Ozma told his followers to not chase the traitor down and to simply let him live.
Oscar Pine is Ozma's current incarnation. He first speaks to him in "Family", but it is not until "Punished" that it is revealed the conversation takes place inside Oscar's mind. Ozma informs Oscar that their souls are combined and Oscar's thoughts are now also his. Eventually, Oscar comes to accept that they are one and the same, tentatively referring to The Long Memory as "my cane".
Ozma has taken to mentoring his latest incarnation, and, in turn, Oscar has picked up the habit of conversing with Ozpin during moments of self-doubt, relying on Oz's wisdom and experience when he is at a loss of what to do. By the time of "Necessary Sacrifice", Oscar has formed a mutual trust with Oz, consulting him on Ruby's nature as a person, forming a close personal bond with one another and gaining solace in the battle against his fears of the upcoming war against Salem and her forces.
However, in "Argus Limited", Ozma's request to take over Oscar's body is denied due to Oscar's anger of his lack of trust and faith in him during the Battle of Haven. In "Uncovered", Ozma finds that Oscar is able to resist control for a few seconds, which gives the farm boy enough time to tell Ruby about Jinn.
Salem's Inner Circle
When Circle was invaded by a group of warriors, Ozma's second incarnation as "The Infinite Man" was challenged to a fight by an unnamed female warrior who wanted to kill a god, as Ozma had an immense reputation then. The woman promised to spare The Circle if Ozma fought her to the death. During their duel, Ozma realized that someone sent her to kill him and asked who, to which she doesn't answer. As the fight progressed, he realized the fight would cause substantial collateral damage, and chose to let her kill him. After his death, the woman broke her promise and slaughtered the entirety of The Circle, all but Ozma's most loyal follower, who she left alive as a message.
The God of Light was the one who gave Ozma his task of uniting Humanity, offering him a chance to return to life and act as a guide for them. He explained that until Ozma's task was complete, he would reincarnate by joining his soul with that of another like-minded individual to ensure he would never be alone. Ozma initially refused, but upon hearing that Salem was alive, he agreed to the offer. Thus, he returned to the world in a new incarnation.
Despite the limited shown interaction between the two, it is clear they have known each other for a long time. Jinn teasingly calls him "old man", but he avoids mentioning her to the others when talking about the Relic of Knowledge. After Ruby summons Jinn, she ignores his plea about revealing the two questions she has left and answers Ruby's question truthfully, telling the heroes what Ozma had been hiding from them.
During her tale in "The Lost Fable", she shows how Ozma summoned her and asked many questions. When being asked on how he could destroy Salem, she succinctly replied: "You can't.".