So there's a tool called tar that creates an archive (a .tar file. Then theres a tool called zstd that can be used to compress files, including .tar files, which then becomes a .tar.zst file. And then you can encrypt your .tar.zst file using a tool called gpg, which would leave you with an encrypted, compressed .tar.zst.gpg archive.
Now, most people aren't doing everything in the terminal, so the process for most people would be pretty much the same as creating a ZIP archive.