Categories can be found in the Catalog menu. Here you can create categories for your products. The platform allows you to create even subcategories if you want (e.g. category Beauty → subcategory Hair Products).
When you have at least one created category, it can be the parent category for the next one you create. This way they will be subcategories of the first one. Just need to check if you want the newly created category to be part of the previously created one. You can add also a sort index to each category and arrange them the way you want them to be ordered at the shop.

In your admin, you’ll see all categories but keep in mind that subcategories will be visible when you enter their respective parent category.