Enable Microsoft Cloud App Security and connect to Office 365 (SPO, OneDrive & Dynamics 365)

Note: You should be Global Admin to perform this activity.

Go to Office 365 Security and Compliance >> Alerts >> Manage advanced alerts

Check the box Turn on Office 365 Could App Security and click on Go to Office 365 Could App Security. You will be re-directed to or will open new tab for Cloud App Security (change to your tenant name in the below URL).
https://tenantname.portal.cloudappsecurity.com/#/dashboard

Go to Investigate >> Add an app > Click on +, Select Office 365

Click on 'Connect Office 365'

1. Azure AD Users and groups is selected by default. Select the other required components. (Enable file monitoring to select Office 365 files). 2. Click on Connect. Once you see the message Office 365 was successfully connected, Click Close.

Add Microsoft Azure in the same method.
[OneDrive, SharePoint Online & Dynamics 365 are under Office 365]. 

Under Investigate, Click on Activity log, Files & Users and accounts to view updates.

Under Connected apps, both Office 365 and Microsoft Azure are connected.

Under Investigate, Click on Activity log >>APP, Select apps (filter for Microsoft SharePoint Online). You can see the activity log.

Under Investigate, Click on Files >> APP, Select apps (you can filter for Microsoft SharePoint Online). You can see all the files and perform few tasks (as shown below).