Highly ionized, z=0 metal absorption lines detected in the X-ray spectra of background active galactic nuclei (AGNs) provide an effective method to probe the hot ($T\sim10^6$ K) gas and its metal content in and around the Milky Way. We present an all-sky survey of the $K_{\alpha}$ transition of the local O VII absorption lines obtained by Voigt-profile fitting archival XMM-Newton observations. A total of 43 AGNs were selected, among which 12 are BL Lac-type AGNs, and the rest are Seyfert 1 galaxies. At above the $3\sigma$ level the local O VII absorption lines were detected in 21 AGNs, among which 7 were newly discovered in this work. The sky covering fraction, defined as the ratio between the number of detections and the sample size, increases from at about 40% for all targets to 100% for the brightest targets, suggesting a uniform distribution of the O VII absorbers. We correlate the line equivalent width with the Galactic coordinates and do not find any strong correlations between these quantities. Some AGNs have warm absorbers that may complicate the analysis of the local X-ray absorber since the recession velocity can be compensated by the outflow velocity, especially for the nearby targets. We discuss the potential impact of the warm absorbers on our analysis. A comprehensive theoretical modelling of the X-ray absorbers will be presented in a later paper.