This video tutorial — part of the WordPress 101 course — demonstrates how to upload a PDF file to your WordPress site.
In the video, I use a PDF file as the example, but you can use the same method for uploading any type of file you like — provided the file type is supported by your web server.
You didn't include much detail in your question, so I'm not clear whether you're asking how to upload files to your own website, or how to allow your visitors to upload files to your website. That's a completely different matter.
If you want to allow your visitors to upload files to your website, you'll need to create a form that includes a file upload field.
There are several excellent form plugins we recommend, but here's a video tutorial on how to create a file upload form using WPForms.
And here's a video tutorial on how to create a file upload form using Ninja Forms.
I hope this helps!