Widgets are used to add features and functionality to the sidebar (usually) of your blog. Widget placement is dependent on themes.
If you change themes your widgets and settings might not be preserved. You can drag your widgets to the Inactive Widgets section of the widgets page in your dashboard to preserve their settings.
Block Themes, such as Twenty Twenty-three and Twenty Twenty-to do not support widgets. The functionality is taken over by block that you can add to page templates.
This blog has just been created with a standard set of widgets.
You can access the widget dashboard from the Appearance section. You may have to show that section using the drop down disclosure arrow.
On the Widget page of your dashboard you add widgets to the sidebar by dragging them.
After adding widgets many need to be configured. For example adding a text or about widget will need some text filled in. The Widget will need to be Saved  too.
The above widget on the side bar. We have also added a Tag Cloud Widget.
Pages about specific widgets: