Avoid traditional screws were possible, as screwdrivers are readily available. Instead, use bolts that require unique drill bits to remove.
Also, make sure bolts are screwed at least an inch into the doorframe.
When buying new, avoiding sheds with windows will improve security. However, if you already have, or want, windows, secure them by putting a wire mesh over the outside of them.
To further increase security, cover the inside with an opaque film, reducing visibility.
Don’t keep valuables in the shed.
If you have expensive tools you want to store, buy a heavy metal box or cage, bolt it in place, and store them in there.
For the items you do want to leave in the shed, feed chains around them, and secure them to a land anchor that has been bolted to the concrete below the shed.