This WordPress User Guide getting started blog post will point you in the right direction. WordPress is a Content Management system that uses a database to store all your data. This data would be like your page and blog posts text. The database would also store things like your website settings like categories and tags. Also widget information, theme settings, plugin configurations, image and video file locations. The main reason for storing this kind of information in a database is to structure the data. Data through relationships for example, a post can be grouped into categories and tags. The Settings screen allows you to control the behaviour of your WordPress website.
wordpress user guide getting started