So I noticed Odyssey wasn't queued up in Steam to download. I waited a few hours, checked this subreddit and everyone was saying their downloads had started automatically so it got me scratching my head. I was toying around in the settings and was able to get Steam to recognize that it needed to download Odyssey using these steps:
In your Steam Library, click Elite Dangerous and select the little settings cog wheel to the right
At the bottom of the list on the left hand side, select DLC
uncheck Odyssey and wait for Steam to re-validate that it has the files selected.
Re-check Odyssey and it should force another re-validation and it should start installing
Note: I had to do steps 3, 4 about two times before it started download. Hope this helps some of you!