Add the below code in module_index_index.xml under the body tag.
<referenceBlock name="customer-account-navigation-custom-index-index">
<arguments>
<argument name="is_highlighted" xsi:type="boolean">true</argument>
</arguments>
</referenceBlock>
customer-account-navigation-custom-index-index is a block name of in customer_account.xml
Example of
Please add the below code in module_index_index.xml under body tag
<referenceBlock name="customer-account-navigation-custom-index-index">
<arguments>
<argument name="is_highlighted" xsi:type="boolean">true</argument>
</arguments>
</referenceBlock>
customer-account-navigation-custom-index-index is a block name of in customer_account.xml
Example of module_index_index.xml file :
<page xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" layout="2columns-left" xsi:noNamespaceSchemaLocation="urn:magento:framework:View/Layout/etc/page_configuration.xsd">
<update handle="customer_account"/>
<head>
<title>Title</title>
<body>
<referenceBlock name="customer-account-navigation-custom-index-index">
<arguments>
<argument name="is_highlighted" xsi:type="boolean">true</argument>
</arguments>
</referenceBlock>
<referenceBlock name="customer_account_navigation">
<referenceContainer name="content">
<block class="Namespace\Module\Block\Index\Index" name="name" template="template.phtml"></block>
</referenceContainer>
</referenceBlock>
</body>
</page>
After run this command php bin/magento setup:upgrade && php bin/magento setup:static-content:deploy -f
This will add the current class and highlight it automatically when you are on that page.