An oryx is an animal that looks a lot like a gazelle. Right after the tutorial in Chapter 1, you'll be prompted to rappel down the side of a bridge. As you get to this point, don't rappel but look down off the side to the right and you'll see a group of Onyx's.
It is also possible to get this achievement at the end of Chapter 10 - Part 2, when the truck crashes. After walking you will be given a pistol with one bullet in it. Leave your team mate to die, and take the pistol with you. At the end of the path, an oryx will be feeding on a dead body, just line up the shot and kill it.