Letting your customers know that their email has been received and is being worked on is one way to ensure they feel heard and satisfied that they have been in contact. You can set up a basic auto response in the following way:
Create your auto response
Go to settings -> canned responses -> create a new canned response (eg. Hi, Thank you for your email. It has been received and one of our agents is looking into it. We aim to respond within 24 hours.)
Set up your rule
Then, go to settings -> shared inboxes -> select the inbox you would like -> rules -> new rule.
When: Inbound email (new thread only)
Then: Respond using canned response - choose canned response.