Your motherboard UEFI blob and chip both have to support it. The vast majority of systems are limited by the fact their UEFI implementation does not enable (or allow you to enable) SGX at all, and at least on my Ice Lake laptop, SGX was disabled out of the box in UEFI (in a non-software controlled state.)
Or ransomware that does so if the ransom is not paid. This can also be done with UEFI variable writes, since the flash where they are stored is... often not of the highest quality!