We present a microscopic study of superconductivity in OsB2 , and discuss the origin and characteristic length scales of the superconducting state. From first-principles we show that OsB2 is characterized by three different Fermi sheets, and we prove that this fermiology complies with recent quantum-oscillation experiments. Using the found microscopic properties, and experimental data from the literature, we employ Ginzburg-Landau relations to reveal that OsB2 is a distinctly type-I superconductor with very low Ginzburg-Landau parameter kappa - a rare property among compound materials. We show that the found coherence length and penetration depth corroborate the measured thermodynamic critical field. Moreover, our calculation of the superconducting gap structure using anisotropic Eliashberg theory and ab initio calculated electron-phonon interaction as input reveals a single but anisotropic gap. The calculated gap spectrum is shown to give an excellent account for the unconventional behavior of the superfluid density of OsB2 measured in experiments as a function of temperature. This reveals that gap anisotropy can explain such behavior, observed in several compounds, which was previously attributed solely to a two-gap nature of superconductivity.