First it's important to make a difference between OneDrive for business and OneDrive for personal use as they treat media files and their sharing in different ways.
Here's a video explaining everything in detail.
OneDrive for business
With OneDrive with business you get a share URL that looks something like this
This won't work as it wraps the video in the OneDrive video player. And all that's needed is to replace that end query ?e=xxx with ?download=1 resulting in
OneDrive for personal use
When using OneDrive on a personal account you get the embed code with the following link
And again, the change is simple, as it just requires us to change the word embed with the word download resulting in
There is also this nifty tool available for automating this process.
Microsoft OneDrive Download URL Maker