Categories allow you to arrange content on the catalog page. Videos, collections, and live events will all need a category to appear on your storefront.
Navigate to Content > Categories and click Add New. Name your category, choose its position in the catalog, and add all other information you would like to include, then Save it.
Of course, you'll still need to add videos, collections, or live events to a category to put it to use. So don't forget to add the category to have your content appear in your catalog.