On Windows you can configure "Secure Login" so that you have to press Control + Alt + Delect to show the login screen like so:
Does this feature exist on OS X or is there a third-party application that can achive this?
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Short answer: No. This feature does not exist on Macs.
On a side note, it's also useless in Windows too.
A long time ago in a galaxy far, far away, CTRL+ALT+DEL sent a hardware interrupt to the PC's BIOS (which would immediately reboot the computer in the DOS days).
That interrupt also had the happy side-effect of breaking things like keyloggers and programs designed to steal your password, so when Windows NT arrived on the scene, Microsoft trapped that interrupt to prove that you were a real, live human sitting in front of a keyboard.
That has not been the case for many, many years. I have no idea why we're still dragging this stupid three-finger salute around after all these years (tradition maybe?) It offers no meaningful security these days and I personally disable it with Group Policy on every domain I administer.