Over the summer, Microsoft announced OneDrive Personal Vault, a new feature for sensitive files in your cloud storage. Today, the feature is generally available for everyone, although it's been rolling out for the last couple of weeks.
The idea behind OneDrive Personal Vault is that it's, well, a vault. It works like a folder within your OneDrive storage, but you can only access it with "a strong authentication method", or two-factor authentication. That could be an SMS code, or it could be biometric, such as Windows Hello.
The files in your Personal Vault are encrypted using BitLocker, and you won't be able to share them. If you want to share the files, you'll need to move them out of Personal Vault. You'll be able to scan documents and shoot photos directly into the Personal Vault though, so those files that automatically show up in your OneDrive can be more secure.
Personal Vault is now available on all consumer OneDrive accounts, and if you've got Office 365, you can store as many files as you want in it within your storage limit. If you're on the free or 100GB OneDrive plans, you can only store three files in it.