Step 1: Sign into Office 365 admin portal via https://portal.office.com
Step 2: Click on Admin from the left pane and navigate to Security center.
Step 3: In the Security & Compliance center, navigate to Threat management > Policy.
Step 4: Click on the Default policy and then click Edit policy.
Step 5: Switch to Common attachment types filter tab.
Step 6: Select the On option.
Step 7: Click Save.