If you want to share a sensitive file and you want to minimise the number of people who can see it then you need to know how to share with the 'specific people' setting. You can share outside of your org if you need to (admin permitting) and the recipient doesn't need to have a Microsoft account.
The files on your OneDrive are private until you share them. Keep in mind that when you share folders with Edit permissions, people you share with can add the shared folders to their own OneDrive. This lets them keep the folder alongside their own folders and items, easily move items between folders, and more easily work on it offline.
In a Microsoft SharePoint document library, create a new file, upload your own, and then share it with others.