The octahedron is a symmetric graph. If we can find 4 independent paths between a vertex and one of its neighbors, and again between a vertex and the one other vertex which is not its neighbor, then the graph is 4-connected.
This is relatively straightforward for the neighbor; you have the direct path, the 2-length path to each side and the 3-length path through the opposite node.
The 4 paths to the opposite node are all length-2 through each adjacent node.
Therefore the octahedron graph is 4-connected.