Should be front and center in the SCC when you access it:
You (or another admin) must first turn on audit logging before you can start searching the audit log. To turn it on, click Turn on auditing on the Audit log search page in the Security & Compliance Center. (If you don't see this link, auditing has already been turned on for your organization.) After you turn it on, a message is displayed that says the audit log is being prepared and that you can run a search in a couple of hours after the preparation is complete. You only have to do this once. For more information, see Turn audit log search on or off.
You can always verify with powershell
Get-AdminAuditLogConfig | FL UnifiedAuditLogIngestionEnabled
Should show TRUE