Click Documents > All documents in the left menu. Choose to create a new folder by clicking on the icon with the three dots (···) and selecting "Create Folder". Name the folder and click "Create Folder".
Click into the newly created folder and select "Upload documents". Click or drag and drop the folder you want to upload to the folder.
After that, all the files in the folder are displayed. To complete the upload, press "Upload".
Video on how to upload a folder with subfolders.