No. EFS is for a local drive.
But if you enable 2 factor authentication there is no way to get a file from OneDrive unless you share it.
https://support.microsoft.com/en-us/help/12408/microsoft-account-about-two-step-verification
Files are stored on the disk in OneDrive on encrypted disks, but if you have access somehow via your account, that becomes irrelevant and is more to keep physical drive data secure when drives fail etc. 2FA prevents people accessing your account even if that have your password.
For a local drive, these days Bitlocker is best to use of your PC supports it over EFS as it is protecting from boot not just from login.
While old Excel security passwords were weak, new file formats saved using Office 2016 with a password are quite secure. Under Office 2016, .xlsX files use
AES (Advanced Encryption Standard), 256-bit key length, SHA1, and CBC (cipher block chaining)
. (
https://technet.microsoft.com/en-us/library/cc179125(v=office.16).aspx?f=255&MSPPError=-2147217396)
I store a bunch of things in OneDrive without passwords - I trust that OneDrive 2FA is enough to keep people out... but if you want better security then
use 2FA enabled OneDrive and save on OneDrive using Office 2016 formatted documents with a longish password, then your files are going to be safe on OneDrive.