This is one of the most requested features by end-users, how to manipulate files stored in SharePoint and OneDrive libraries in the Windows explorer. Indeed, despite some great improvements in the user interface, like
- Multiple uploads for files and folders,
- Simple reorganization capabilities using drag and drop
There are still some simple operations you can’t do in the modern version of document libraries. For example,
- Multi-level reorganization of folders and files,
- Download of a full folder
- …
That’s why this command is still requested a lot by end-users.
The new user interface seems to have removed access to this tool but it is still there, a little bit hidden 
In SharePoint
First of all this feature need (as with classic mode libraries) Internet Explorer:
After choosing this command, you need sometimes to launch it several times as it may seem not working (nothing happen), in fact it can take up to a few seconds before a windows shows up, you just need to be patient! It can also be necessary to add the site to trusted sites in IE:
You can also get some message like that:
This knowledge base article allow to troubleshoot all related problems :https://support.microsoft.com/en-us/kb/2629108
But you should be confident it will come! This type of message is a good sign:
When you click “allow”, the browser opens a new tab with your library in classic mode and also a Windows File explorer window showing the library:
And in OneDrive ?
A similar mode is available for OneDrive provided you once again use Internet Explorer. Only with this browser can you see the corresponding menu on the top right:
When you use this menu, you get a very similar behavior and you get the strating tab plus a new tab displaying OneDrive in classic mode and then the Windows explorer window:
This can answer completly the end-users need. A great thanks to Renaud Comte who triggered my curiosity on these topics with its very good article (in French) from July.
Sources :
aOS 365 