Its not so much that the Mac can't read Windows files, or vice versa, its more some of the applications that have versions for both Windows and macOS can't read each other's files. The paid apps do tend to be better than the free ones for this, but still no guarantee.
Incidentally, if you have MS Office compatible files on OneDrive, you can use the (free) online versions of Word/Excel/whatever to read them within the browser. They have limited features, and can be clunky... ...but work OK for simple stuff. This is available even on the freebie OneDrive (obviously if you have the paid OneDrive variants, called Microsoft 365 now, you have access to the full Office package to download and install on Windows and Mac.
Also, if they are MS compatible-ish word/excel/ppt docs, have you tried the built in macOS applications like Pages and Keynote to open them? They open some of the simpler ones without issue.