First it's important to establish the 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:

https://imwenterprises-my.sharepoint.com/✌/p/petar/EaIAcZedNFJOmA7f3gtqYLsBd_0DGweGqnBYIahJJ4YvuQ?e=GLnS6u

This won't work as it wraps the video in the OneDrive video player.

All you need to do is replace that end query "?e=xxxxxx" with "?download=1" resulting in:

https://imwenterprises-my.sharepoint.com/✌/p/petar/EaIAcZedNFJOmA7f3gtqYLsBd_0DGweGqnBYIahJJ4YvuQ?download=1

OneDrive for personal use

When using OneDrive on a personal account you get the embed code with the following link:

https://onedrive.live.com/embed?cid=49B3AB923B674DFA&resid=49B3AB923B674DFA%21906&authkey=AMQbzavZyIbZkxc

And again the change is simple. It just requires us to change the word "embed" with the word "download" resulting in:

https://onedrive.live.com/download?cid=49B3AB923B674DFA&resid=49B3AB923B674DFA%21906&authkey=AMQbzavZyIbZkxc

There is also this nifty tool available for automating this process.
Microsoft OneDrive Download URL Maker

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