You have to break permission inheritance on each document that you want to protect. Go to the document library, select the options menu (...) and the additional options (...) and select Advanced > Shared with. On that view select advanced and click on the ribbon button "Stop inheriting permissions".
Add the group/users who should have access to the document first (important), and then remove all other users and groups that shouldn't. Save and check that the correct permission is available.
Repeat for all other document.
Another option is to move all protected documents to a new document library, where you stop inheriting permissions on the entire library and you don't have to worry on each document.