In the future all audit will be enabled by default in Office365, however, for now we need to check and if it not enable we will show how to turn it on.
Logged on Office 365 Admin Center, click on Admin Centers and then click on Security and Compliance. A new page will be opened, expand Search and Investigation, and click on Audit Log Search.
If the option Start recording user and admin activities is available, that means that currently is turned off. Click on it.
In the new dialog box, click on Turned on.
A new dialog box (Security and Compliance) will inform that settings at organization level must be updated, click on Yes.
The process may take a while, wait for completion and after 30 minutes (Exchange and SharePoint) and we will be able to some some activity on the logs. After 24hs you should be all set on all products and being able to search admin and user activities from a single location.