See explanation below.
Explanation
1. Open the Admin Center and go to Users > Active Users
2. Open Multi-factor authentication
Don't select any user yet, just open the Multi-factor authentication screen. You will find the button in the toolbar.

3. Open the Service settingsBefore we start enabling MFA for the users, we first go through the service settings. The button to the settings screen doesn't stand out, but it's just below the title

4. Setup MFA Office 365
A few settings are important here:
Make sure you check the App password. Otherwise, users can't authenticate in some applications (like the default mail app in Android).
Also, take a look at the remember function. By default, it is set to 14 days.

5. Enable MFA for Office 365 users
After you have set the settings to your liking click on save and then on users (just below the title Multi-factor authentication).
You see the list of your users again. Here you can select single or multiple users to enable MFA.
At the moment you enable Office 365 MFA for a user it can get the setup screen as soon as the users browse to one of the Office 365 products.

Reference:
https://lazyadmin.nl/office-365/how-to-setup-mfa-in-office-365/