Guide
Word mail merge to separate PDF files
Updated
This is the single most searched version of the question and the answer is unsatisfying in a specific way: it is not that the feature is hidden, it is that Microsoft's mail merge does not describe one.
What Word gives you
Microsoft describes the mechanism plainly: you work on the main document in Word, inserting merge fields for the personalized content, a data source such as a list, spreadsheet or database is associated with the document, and the merge document generates a personalized version of itself for each name in the data source.
Finish and merge to a new document, and that is what you get: one file with one section per record. Everything after that is yours to arrange.
The three parts of the workaround
Merge to a new document rather than to the printer. Split that document into one file per section. Export each one to PDF with a useful name.
The middle step needs a macro or an add-in. There is no supported route without one, and Microsoft's guidance on mail merge does not contain one.
Naming is the whole value
A folder of files called Document1 to Document400 is no more useful than the single combined PDF you already had, and takes longer to produce.
So the macro has to build the filename from a field: a surname, an account number, an invoice reference. Decide which field before you start, and sanitise it, because real names and references contain characters your filesystem will refuse.
The Excel formatting trap
Word takes the underlying value from Excel, not what Excel displays. A cell showing £1,250.00 can arrive in the merged document as 1250 or as 1249.999999.
The fix is to format inside the merge field rather than in the spreadsheet, using a numeric or date picture switch on the field itself. This is the defect most likely to produce a thousand correct-looking documents with wrong numbers in them, and it is invisible until somebody reads one carefully.
Check the last record, not the first
Everybody tests the first output. Off-by-one errors in the data source range live at the end, and blank final records are common where a spreadsheet has a trailing row.
Open the first, the last and three from the middle. It takes a minute and it catches nearly everything that goes wrong at volume.