Thumbnails of OneDrive Files on the Desktop

Enable Files On-Demand

Make sure you're signed in to OneDrive on your device.
Files On-Demand settings apply to the respective device only. Make sure you enable them on every device you want to use them on.

    Open the OneDrive Settings.
    OneDrive-Cloud icon of the status area -> for OneDrive Help and Settings -> Settings
    Go to the Sync and back up tab and expand the Advanced Settings.
    Select the Download All Files option at Files On-Demand.