“Orthodoxy” has a number of usages, as does the word “Catholic”. Both of these terms can be used in reference to a Christian Church, but that is a very narrow understanding. All major Churches see themselves as orthodox, that is, following the fundamental teaching of the early Christian Church before the various divisions of today arose.
The Sunday of Orthodoxy specifically refers to the affirmation of Orthodox Christian teaching on the Incarnation of the Son of God against the teachings of those who opposed the use of icons. This controversy broke out in the 8th and 9th centuries, before the formal division between “Catholics” and “Orthodox” or Western Christianity and Eastern Christianity.