Anti-phishing protection is part of Office 365 Advanced Threat Protection (ATP). To prevent phishing email messages from being delivered to your organization, you need to configure a threat management policy.
ATP anti-phishing is only available in Advanced Threat Protection (ATP). ATP is included in subscriptions, such as Microsoft 365 Enterprise, Microsoft 365 Business, Office 365 Enterprise E5, Office 365 Education A5, etc.
Reference:
https://docs.microsoft.com/en-us/office365/securitycompliance/set-up-anti-phishing-policies