I seem to remember that Jesus having already died and not needing his legs broken fulfilled an OT prophecy.
Where was this prophecy recorded and what did it say?
Yes, you're absolutely right! Jesus never broke any bones. That's a fulfillment of the prophecy from Old Testament and it's written about in John.
The prophecy that John refers to is found in Psalms 34:20:
Also related to this is the regulations regarding the passover lamb:
Those were the regulations for the lamb that was slain for the passover feast. There are many passages that relate Jesus to the passover lamb. This lack of broken bones is one of these connections. (This regulation can also be seen in Numbers 9:12.)