A) File a report with the police. Make sure to give them the make and model of your phone and try to give them as much information about the driver and the incident as possible.
B) Contact your service provider, and report the phone as stolen. Make sure to have the police report on hand, because it will make it easier to search/blacklist the phone from their service, especially if it's region locked.
C) Contact any and all companies involved with these confidential files and make sure that there's a security report added to the incident. This part is really going to suck,especially if it's a company-funded phone, but otherwise you might lose out on a job/career if people are under the impression that you can't be trusted with confidential files.
Look, these things happen and it really sucks. I know, because I lost my phone last year under similar circumstances. The best you can do is to make sure that your incident goes to as many authority figured as possible, and hopefully you can get your phone back.
For future reference, I use the Android Device Manager that Google offers as a part of their free services. Before it was stolen I used it a couple of times to find it when I've misplaced it at a friend's house or at my parent's during the holidays. Tom's Guide has a post about it here: http/www.tomsguide.com/us/track-android-phone,news-17307.html
If you have an Apple phone, you can also use their Find My Phone service, but you need to set it up beforehand.
Again, I'm sorry to hear this happened to you. It really sucks, and the steps towards recovering a stolen phone aren't perfect, but we just need to do our best.