What is the measure of a hero?
That's pretty much what OPM is about, as far as Saitama's character arc.
It's not about Saitama finding a challenge or danger. It's about finding meaning when there is no challenge or danger to be had, and his idea of a hero is someone who sticks his neck out in the face of danger when others don't (see: mumen rider).
He can't be the hero he wants to be to himself, since he is never in any real danger. His journey is about realizing he can be the hero he wants to be to everyone else. It's about overcoming his depression and finding meaning through the perspective of others.
Imagine if you wanted to be a theoretical physicist so you could study all of the universe's mysteries. And by the time you're ready to look for work... you realize you've already come up with a grand unifying theory of everything. Suddenly, there are no more mysteries to the universe. You search for new phenomena that contradict your understanding or raise new questions, but can't find any. You understand every possible application of physics, can predict every outcome, and know all that there is to know. You wanted to be someone who ponders the mysteries of the universe, not someone who understands everything about it. But you can now be someone who imparts this knowledge to others, or uses this knowledge to come up with ways to help others.