Drupal 8 | Redirect all anonymous users to login page. With a few needed exceptions like /user/password

RedirectAnonymousSubscriber.php

<?php

namespace Drupal\<yourmodulename>\EventSubscriber;
use Symfony\Component\EventDispatcher\EventSubscriberInterface;
use Symfony\Component\HttpFoundation\RedirectResponse;
use Symfony\Component\HttpKernel\Event\GetResponseEvent;
use Symfony\Component\HttpKernel\KernelEvents;


/**
 * Event subscriber subscribing to KernelEvents::REQUEST.
 */
class RedirectAnonymousSubscriber implements EventSubscriberInterface {

  public function checkAuthStatus(GetResponseEvent $event) {

    global $base_url;

    if (
      \Drupal::currentUser()->isAnonymous() &&
      \Drupal::routeMatch()->getRouteName() != 'user.login' &&
      \Drupal::routeMatch()->getRouteName() != 'user.reset' &&
      \Drupal::routeMatch()->getRouteName() != 'user.reset.form' &&
      \Drupal::routeMatch()->getRouteName() != 'user.reset.login' &&
      \Drupal::routeMatch()->getRouteName() != 'user.pass' ) {
      // add logic to check other routes you want available to anonymous users,
      // otherwise, redirect to login page.
      $route_name = \Drupal::routeMatch()->getRouteName();
      if (strpos($route_name, 'view') === 0 && strpos($route_name, 'rest_') !== FALSE) {
        return;
      }

      $response = new RedirectResponse($base_url . '/user/login', 301);
      $event->setResponse($response);
      $event->stopPropagation();
      return;
    }
  }

  public static function getSubscribedEvents() {
    $events[KernelEvents::REQUEST][] = array('checkAuthStatus');
    return $events;
  }
}

@mogbril
i think you may have other redirection in your .htaccess or somewhere else that is creating loop

My solution under Drupal v9.5.7:

<?php

namespace Drupal\[MODULE]\EventSubscriber;

use Drupal\Core\Session\AccountInterface;
use Drupal\Core\Url;
use Symfony\Component\EventDispatcher\EventSubscriberInterface;
use Symfony\Component\HttpFoundation\RedirectResponse;
use Symfony\Component\HttpKernel\Event\ExceptionEvent;
use Symfony\Component\HttpKernel\Exception\HttpExceptionInterface;
use Symfony\Component\HttpKernel\KernelEvents;

/**
 * Class EventSubscriber.
 */
class EventSubscriber implements EventSubscriberInterface {

  /**
   * The current user.
   *
   * @var \Drupal\Core\Session\AccountInterface
   */
  protected $account;

  /**
   * Constructor.
   *
   * @param \Drupal\Core\Session\AccountInterface $account
   *   The current user.
   */
  public function __construct(AccountInterface $account) {
    $this->account = $account;
  }

  /**
   * Redirects users when access is denied.
   *
   * @param \Symfony\Component\HttpKernel\Event\ExceptionEvent $event
   *   The event to process.
   */
  public function onException(ExceptionEvent $event) {
    $exception = $event->getThrowable();
    if ($exception instanceof HttpExceptionInterface && $exception->getStatusCode() === 403) {
      if (!$this->account->isAuthenticated()) {
        $url = Url::fromRoute('user.register');
        $response = new RedirectResponse($url->toString());
        $event->setResponse($response);
      }
    }
  }

  /**
   * Events.
   */
  public static function getSubscribedEvents(): array {
    return [
      KernelEvents::EXCEPTION                => [
        ['onException', 80],
      ],
    ];
  }

}