Can connect 3T to devices via hotspot, but no internet
I have personally tried this on OxygenOS 4.1.6 on my OnePlus 3, but the solution is the same for all OxygenOS 4.X.X devices.

Note: If you have ADB setup, USB Debugging enabled and the drivers installed, skip to step 7.


Enable Developer Options in Settings > About phone and tapping on the build number seven times.
Next, in Settings > Developer Options enable "USB Debugging"
Connect your OnePlus device to a laptop or computer, and install the appropriate the appropriate drivers from the "CD/DVD drive" that was inserted, then reboot your computer.
Download ADB and Fastboot for your computer from the Android Developers website
Extract the folder, open Terminal and navigate to the extracted folder using 


cd path/to/extracted/folder


Type adb devices and accept the prompt on your OnePlus device.
This is the actual command that matters:


adb shell settings put global tether_dun_required 0


Enjoy tethering from your OnePlus device.


Source: OnePlus Forums