Your Rogue can Sneak Attack on an Opportunity Attack.
Sneak Attack. ...Once per turn, you can deal an extra 1d6 damage to one creature you hit with an attack... [some restrictions may apply]. (PHB p.96, "Sneak Attack")
There are two important phrases in that description I've highlighted.
Once per turn. The writers could have said "on your turn." They didn't, so it doesn't have to be your turn*. Compare, for example, with Reckless Attack (PHB p.48) which says "when you make your first attack on your turn.... (emphasis mine)" A Barbarian clearly cannot both Recklessly and Opportunely attack.
You hit with an attack. The writers could have said "when you take the Attack action." They didn't, so the attack you make as a reaction (opportunity attack) is viable. Compare, for example, with the Battle Master's various Maneuvers (PHB p.74): some trigger "when you make a melee weapon attack on your turn," some "when you hit a creature with a weapon attack," some "when you take the Attack action." These subtle differences in applicability are ones that the designers are well aware of, and use to balance features.
(Jeremy Crawford also says so, albeit tersely, in this Sage Advice Exchange: http://www.sageadvice.eu/2015/06/18/sneak-once-per-turn/. But he didn't need to, since the rules already said as much.)
* - In case there's any confusion, look to PHB p. 189, The Order of Combat: "during a round, each participant in a battle takes a turn." So other people's turns are a turn, meeting the restriction in Sneak Attack.