By default, OneNote stores notebooks on OneDrive in a “Documents/“ folder. But the notebooks are not downloaded locally by the OneDrive sync client — the sync client simply downloads “.url” link files that take you to the notebook on onenote.com.
However, there is an easy way to grab a backup. Use the “Download” option on onedrive.com to download a .zip file of the entire “Documents/“ folder. This .zip will have all your notebooks in the open, documented OneNote file format.
Update (November 7, 2019): Thanks to David Mytton for pointing out that this only works for personal Office365 accounts. If you have a business account, OneDrive will store your OneNote notebooks in a "Notebooks/" folder rather than a "Documents/" folder, and it will not let you download this folder. This is a known issue and Microsoft is working to resolve it.
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