Navigate to the desired folder you want to add as a shortcut to in either SharePoint or Teams.

You should get a notification that the shortcut has been added. 

Now is File Explorer select your OneDrive and you will the shortcut. You can identify that it is a shortcut because of the link on the folder icon and in the status column.

Nicholas - Vector Choice Technology Solutions (OneDrive)

If accessing OneDrive files in the Web Browser, Click "My files". and you will see the Shortcuts you add there as well.

This guide provides step-by-step instructions on how to add a SharePoint shortcut to OneDrive. By following these steps, users can easily access and manage SharePoint folders from their OneDrive, enhancing convenience and efficiency in file organization and collaboration.

How to Add a SharePoint Shortcut to OneDrive