You want, ideally a crosscut shredder. Burning even moderate amounts of paper indoors is probably too much of a fire or smoke inhalation risk, unless you already have a fireplace you can use.

Mix the sensitive documents with pages from unrelated useless documents (could be scratch paper notes, old letters or homework, junk mail, paper advertisements or pages from catalogs or even a phonebook) and shred all that stuff together.

After shredding, seperate the shredded paper into bags so that no one "document" is likely to be able to be reassembled from one bag. Throw the bags away in separate places and/or on separate days. Drop them in different dumpsters behind businesses or different trashcans in the park. Alternatively if you can store the shredded paper in bags at a secure location, you can save it up and then take it on a camping trip and burn it in your campfire.

If your threat model is so severe that these methods aren't secure enough, consider instead avoiding writing or printing the information in the first place.

You can pay for documents to be securely destroyed, which would save you from needing to start the fire yourself.

Also, a good shredder is probably enough. You can always compost the shredded bits for extra security, but it's not really necessary.

For a small amount of paper -- just a few sheets -- you can put them inside any metal trash can, bucket, or cooking pot and simply burn them there. Away from any smoke detectors, hopefully. A large glass jar can also work well. In a pinch, you can set documents on a rack inside a normal oven and burn them there. It will leave ashes in the bottom of your oven, but it will work and it will be safe for a small amount.

For a larger amount of paper, that's really not safe. The smoke and fumes could be dangerous to breathe, the fire could escape its container, the container could get too hot and burn/melt other things. For a large amount of paper to burn, you'll want an actual fireplace or woodburning stove, ideally. If firing that up isn't something you're likely to do immediately, you should shred the documents first, and then burn them later when you have time.

With either of the previous methods, supervise the burning and make sure to stir/break up/sift the ashes afterward. Sometimes large chunks can burn relatively intact, and sometimes those chunks can still have readable text on them. When you stir up the ashes, you break the large chunks up into tiny dust that can never be recovered. You also want to make sure all parts of it burned completely, that there are no unburnt sections left. (If you shredded before burning, none of that may be necessary.)

But it's also important to note that there are other reliable ways to destroy documents besides burning, if burning is inconvenient or illegal for you.

A shredder that shreds documents into strips isn't super secure. Prying eyes with time on their hands may be able to reassemble the strips into readable documents. But a cross-cut shredder that shreds documents into tiny, confetti-like squares is much more secure. Theoretically, it may still be possible to reassemble, but it would be far, far more difficult to do so. And every additional page you shred makes that task exponentially more difficult, because now they don't even know which document each little shard of paper belongs to.

You can also look into chemically destroying documents. There are lots of different chemicals out there that can dissolve paper, either fully liquefying it or just softening it to the point where it can be irrevocably destroyed just by stirring it a little. Choose your chemicals with care -- you don't want anything extremely exothermic (that could cause fires or explosions), and you don't want anything that's going to release toxic fumes, either on its own or when it reacts with the paper.