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.
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