Sharing in Office 365 is a feature that is continuously evolving and adding new functionalities so any user can choose how he/she can share documents or folders with other people. One of the last additions to the Sharing function in both SharePoint Online (SPO) and OneDrive For Business is the ability to protect a document of folder shared anonymously with a password:
This password must be shared beforehand with the recipient so he/she can access the content shared when opening the sharing link received in his/her inbox.
When the recipient clicks on the “Open” button, an access page requesting the passowrd is shown. Once the user types that password and clic on the access button, he/she will be able to access the content shared.