How do I search for files in Visual Studio Code?

On OSX, for me it's cmd ⌘ + p. cmd ⌘ + e just searches within the currently opened file.

Using Go to File... which is under the Go menu or using keyboard shortcut:

• On Windows Ctrl+p or Ctrl+e
• On macOS Cmd ⌘+p
• On Linux Ctrl+p or Ctrl+e

Then type the file name.

Also be sure to checkout that you can set your own keybindings and that there are cheatsheets available for Windows, macOS and Linux.