You can enable this feature here - https://www.playstation.com/en-us/account-security/2-step-verification/
FAQ and other help desk articles from Sony can be seen here - https://support.us.playstation.com/articles/en_US/KC_Article/Information-about-2-Step-Verification
Sony is calling this 2SV (2 Step Verification), so you may see this language used in help articles or the various Sony interfaces.
Some things to keep in mind -
This only appears to support SMS as an auth method, which NIST (and Duo) don’t recommend. (You can read why here: https://duo.com/blog/duo-aligns-with-nist-on-authentication-guidelines)
OTPs can be phished just like passwords. Be mindful of anyone ever asking for a code, just like a password.
You can check https://twofactorauth.org/ to find out which other services you trust with your data provide 2FA.