If you have Office 365 Enterprise E5 license plan or if you have other Office 365 Enterprise plan you can buy Advanced Security Management (ASM) as an add-on for $3/moth. Then when you have it, you can now activate a very cool new feature called Office 365 Advanced Security Management. Just so that you know. Everyone in your tenant have to have this license, it is not possible to exclude individual users.
Then your users activity is monitored and via the dashboard for Advanced Security Management you got alerts if like, if one of your users account have been stolen and been seen in the dark side of deep web. Or if user’s behavior is abnormal.
Here is a good overview video
And many thanks to Tony Redmond, who have write this detailed blog about this cool new feature.
If You have bought EMS or just Azure AD Premium, then you can get not the same but some sort of similar information/features via Azure AD Identity Protection. Here is a blog post on that.