The worst part about Destiny is it doesn't give the story in game. You have to read the grimiore cards from collecting ghosts and calcified fragments. The calcified fragments give you the backstory of Oryx and the Hive. Short version, the Deep who gave the hive its powers via the worms convinced Oryx and his sisters that the Traveler was responsible for their pre-worm short lifespans and their apocolypse. The hive also believe that if you are conquered you are false and they are true. So every time the traveler flees they are proved true. So they keep following the traveler and murdering the species' it gives the light to in order to prove they are true. Their ultimate goal is to kill the "sky", of whome the traveler is a part, and be the final version of the universe, where they are the only ones left.