Those are called breadcrumbs in most IDEs. In VSCode, it's no different.
Find the setting by going to your settings and searching "Breadcrumbs".
If you choose to not use the fancy settings editor, you can manually add this to your configuration:
"breadcrumbs.enabled": true
As of May 2019 (version 1.35), breadcrumbs are enabled by default in VSCode. They can still be toggled using the steps outlined above.
Beware that even if you have breadcrumbs turned on in settings and the Language is selected, you will have to save the file in order to get breadcrumbs in VS Code 1.52.1

I'd like to add one more thing to Ian MacDonalds answer:
You can simply toggle them within the "View"-menu View > Toggle Breadcrumbs :