Open This PC or My Computer and find your system Downloads folder.
Right Click on the Downloads folder and select Properties.
On the Downloads Properties dialog select the Location tab.
Click on Move to select the new folder location.
Select OneDrive to continue.
Create a Downloads folder on OneDrive, highlight it and click Select Folder.
NOTE: You may have to go to other devices and make sure the Downloads folder is set to sync locally on that device.
You should now see the new folder location in the dialog box with it located in your local OneDrive profile.
Click OK to continue.
There will be this warning to confirm you want to make this change.
Click Yes to continue.
Your files will now be moved to the local OneDrive profile on your hard drive and then synched to the cloud.
If you are making this change on a different system you may see some conflicts if there are the same files in the Downloads folder on each system.
Click Let me decide for each file to make sure you keep the files you want.
If they match each other then there is no reason to copy and replace. If you want to keep both then click the Files from Downloads and Files already in Downloads to keep everything.