Alt + Click shifts to multi-cursor mode. Starting at the top, hold the left mouse button down and drag the cursor. I am unsure if this only worked because I added a multi-cursor extension some time ago, but I couldn't find the extension in my command palette.

In addition, I found this by clicking on the "Selection" menu on VScode and noticed it had two commands at the bottom: "Column Selection Mode" and "Switch to Alt + Click for Multi-cursor."