Standard “I am not a vet” disclaimer.
It can be hard on their kidneys. A very small percent of horses can go into acute renal failure. If you want to be very cautious you can have your horse’s kidney function tested beforehand.
A much more common risk is colic. I believe my vet said it was due to a slow down of peristalsis which could lead to ileal compaction. I don’t remember exactly, so don’t quote me on that. Essentially, colic or colic-like symptoms in the immediate time after the injection administration (within 2 hrs) is something to definitely keep an eye on.
I have heard of vets giving banamine after osphos to prevent colic. A different vet I know advised against this practice because both are filtrated by the kidneys- so the banamine puts extra stress on them on top of the osphos.
My vet recommends keeping the horse off food overnight and in the morning, giving the injection, and once the 2 hour window has passed they can have food like normal. He thinks an emptier gut is safer due to the risk of colic.
Osphos is known to have an analgesic effect. It may make your horse feel better, but it is not a cure and it does wear off.
It is a great option in many situations and can be wonderfully useful. Best of luck!