Yes, travel insurance is worth carrying for a trip through Oslo S, and largely because of where the trains and buses from here actually go rather than any risk in the station itself. Oslo is the country's real hub for onward travel to the fjords and to ski resorts like Trysil, Hemsedal, and Geilo, and that onward leg is where a routine city trip turns into one with genuine activity and weather risk.
Oslo itself has strong hospital care, including Oslo University Hospital, and handles serious cases without the long referral distances this guide flags for more remote entries. The real question is cost: Norway's healthcare is excellent but not free for visitors outside reciprocal Nordic or EEA arrangements, so check whether your existing health cover actually extends to Norway before assuming it does, since many home plans stop well short of full Norwegian hospital costs, leaving a real gap for anyone who assumes otherwise.
Skiing at the resorts reachable from Oslo and scenic rail or fjord excursions further west are the genuine draws for most travelers passing through, and both carry real risk that a routine city policy sometimes underinsures - check that your policy names winter sports specifically, including any altitude or off-piste exclusions, before booking a lift pass or a guided fjord tour.
Winter, roughly November through April, brings snow and ice that can disrupt trains out of Oslo S and close mountain roads toward the ski resorts with little warning. Trip-delay cover is worth checking closely if your itinerary depends on a tight rail or road connection during this window.
Keep any clinic paperwork, resort incident reports, and receipts for delayed travel or lost equipment, and check your policy's claims-reporting timeline before you travel, since Norwegian providers generally issue standard documentation on request but reimbursement is rarely automatic.