You almost had the syntax right,
EntityValue[ElementData[7], "KnownOxidationStates"]
(* {-3, -2, -1, 0, 1, 2, 3, 4, 5} *)
These don't seem to match the entries in the Wikipedia entry, and the latter sites its sources at least. For example it seems to say that lithium forms a negative oxidation state, but they drilled into my head in general chemistry (between naps) that alkali metals don't accept electrons
{#, EntityValue[#, "KnownOxidationStates"]} & /@ (ElementData /@
Range[20])

The oxidation states that Mathematica uses seem to come from the table on page 28 of Chemistry of the Elements by Greenwood and Earnshaw. This table is reproduced at poor resolution below

But that's too hard to read, we can go through the arduous task of recreating the figure
Module[{oxstates},
oxstates =
EntityValue[#, {"MostCommonOxidationStates",
"KnownOxidationStates"}] & /@ (ElementData[]);
oxstates =
If[Head@#[[1]] === Missing, {{}, {}}, {#[[1]],
Complement @@ Reverse@#}] & /@ oxstates //
DeleteCases[#, 0, Infinity] &;
oxstates = MapIndexed[
Function[{oxstate, elnumber},
Join[{White,
Text[
ElementData[First@elnumber, "Abbreviation"], {First@elnumber,
0}]},
Text[#, {First@elnumber, #}] & /@ oxstate[[1]],
{Black},
Text[#, {First@elnumber, #}] & /@ oxstate[[2]]]
], oxstates] /.
Text[a_, b_] :>
Text[a, b, BaseStyle -> {FontFamily -> "Times", 12}];
Column[{
Graphics[
oxstates[[;; 54]], Background -> Gray, AspectRatio -> .25,
ImageSize -> 1200],
Graphics[
oxstates[[55 ;; 108]], Background -> Gray, AspectRatio -> .25,
ImageSize -> 1200]},
Spacings -> 0
]
]

Higher resolution here.
Perhaps it's time to update this data. the Wikipedia entry draws from many recent sources, like "B(−5) has been observed in Al3BC, see Melanie Schroeder "Eigenschaften von borreichen Boriden und Scandium-Aluminium-Oxid-Carbiden" (PDF) (in German). p. 139" - which I assume is someone's PhD thesis work. Wolfram, however, tries to get it from one authoritative source, but sometimes an error sneaks in, like that negative oxidation state on lithium. I'll put it on my to-do list to look into updating this information.