Are you using the server version? My answer is assuming that.
If so, there are two things here to understand, mainly the difference between Single Sign On (SSO) and a common user authentication directory.
If you just want to ensure users have the same password and username in both systems you can set up Confluence to user Jira as the authentication provider (authentication directory)
This is documented here
However, if you also want to automatically be logged in to Jira if you logged into Confluence and visa versa you need to use an SSO system. In Atlassian's case the easiest option here is to also install Crowd.
You can then follow their instructions to configure JIRA and Confluence to use Crowd and this will auto log people in between the systems
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