Clicking a suspicious link is frightening, but a click alone does not automatically mean an account or device has been compromised.
The response depends on what happened after the click.
If you entered a password, change it immediately from a trusted device and change it anywhere else that password was reused.
If you approved an authentication request, revoke suspicious sessions and contact the service or your organisation's security team.
If you downloaded or opened a file, disconnect from sensitive networks if appropriate and run your trusted security checks.
Do not continue interacting with the suspicious page just to investigate it.
Preserve the message, sender information and link if it may be useful for reporting.
The most important thing is speed. The sooner a compromised credential or session is revoked, the less opportunity an attacker has to use it.