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.