Windows (any version)
Most Linux distros will be fine. If you are a beginner to Linux then I'd recommend Ubuntu (see warning), Mint and Manjaro. If you want max privacy then use Tails, Whonix or Qubes OS.
If you already use Linux then you should harden it as much as you can. Most distros have guides on hardening but they aren't always good. You can also use my hardening guide.
Arch Linux Hardening
My own guide
Many people consider Ubuntu to not be privacy friendly. These claims are justified somewhat as Ubuntu has violated user's privacy in the past such as with the Amazon launcher tracking users or when telemetry was enabled by default. Ubuntu also comes with proprietary software so they could also be tracking you as well. Ubuntu is commercial and owned by a UK company who are part of the 5 eyes. I do not believe Ubuntu is anti-privacy but you should still be aware of this.