For a private file, only shared with my account, I opened it on Firefox/or any other browser should work. Opened the console > network tab to monitor network calls. Click on the usual download button to start downloading through the browser. A network request appeared like `https://domain.sharepoint.com/personal/path/to/file/download.aspx?SourceUrl=/path/to/file.zip` and I cancelled the download from the download manager. Then in the network tab, right click on the item and, click on "Copy value" > "Copy as cURL". This copies the necessary cookie+url that you can just paste and download.