NerdWallet says that your best bet is to cash a money order at the place that issued it, whether that’s a bank, post office or other location.
Check cashing locations, convenience stores and grocery stores can be alternatives but watch out for fees. Wherever you go, you’ll generally need to show identification.
If you don’t need the money right away and you have a bank account, consider depositing it at your bank. For U.S. Postal Service money orders, banks consider them government checks and accept them like regular checks at a branch, ATM or even on a banking app with a mobile check deposit function.
More tips and advice on cashing your money order can be read here: http://banking.about.com/od/MoneyOrders/a/Cash-A-Money-Order.htm.