How-to always prompt for the password at boot time?

You can encrypt you boot disk with System Preferences -> Security -> FileVault (DO NOT LOOSE THE PASSWORD, or you will never see your data again!)

You can give your Mac a firmware password

<What is a firmware password and how do I set one up? - Apple Support>

Either one of these will prompt you for a password when you boot.

I personally use FileVault whole disk encryption, as it offers other benefits, since a firmware password can be bypassed by removing the disk from your Mac and accessing it from another computer. FileVault whole disk encryption goes with the disk no matter where it is mounted, and the password is always needed.

If you just want to use a password, go to System Preferences > Users & Groups > click on the padlock and enter your password, then on Login options and make sure the "automatic login" is set of OFF. That will prompt you to enter a password when booting up.

Sylvain Blot wrote:

Thanks I hoped that the firmware password could be more useful 🙂

While it does not protect your data, it does make it difficult to re-use the Mac itself, as even if someone wipes the data and installs a new OS (on a different computer), the firmware password will prevent them from booting any disk.

But Whole Disk FileVault encryption is good for protecting your data.