Check your current time with date(1):
# date Thu Apr 5 12:26:43 UTC 2018
As you can see the local timezone is
Your operating system uses
/etc/localtime to set time zone information
and that is a symbolic link to
UTC time zone file. Check it with
# readlink /etc/localtime /usr/share/zoneinfo/UTC
Find a file for the time zone you want to set with find(1):
# find /usr/share/zoneinfo -name 'Mos*' /usr/share/zoneinfo/Europe/Moscow ...
The timezone name we are looking for is
Set timezone with zic(8).
# zic -l Europe/Moscow
Check if the time zone is set correctly.
# readlink /etc/localtime /usr/share/zoneinfo/Europe/Moscow # date Thu Apr 5 15:26:51 MSK 2018
Tested on OpenBSD 6.3