How to make images that move as you scroll?

Yes! That website is built in Squarespace and you can use any image you want (it will get cropped so bear that in mind) and set them as background images on sections and then you can in the section settings add effects, see here for more:
https://support.squarespace.com/hc/en-us/articles/4424798177549#toc-add-background-image-effects

The second section uses the "pan" background effect.

Hope that answers your question!