There are lots of ways to thicken as you cook. For the most part, it is getting rid of the water in the ingredients, through simmering or boiling. Simmering is basically a low boiling, where it just starts to bubble. This can take a short time or a very long time. Some soups or things in the crockpot can sit for hours on end just simmering.
Alternatively, you can add flour, cheese, psyllium husk, or baking powder. Some flours are thicker than others and can cause different reactions. This is not a completed list, simply a few examples.
It helps to know what thickness you are going for before you even started cooking, that way you can choose the best ingredients. That is something a lot of recipes either don’t tell you, or find a hard time describing. Having too many ingredients with lots of water in them will make it take a long time to cook, which if you are thickening it, can over cook it a bit. If you are trying to keep a similar thickness to what something already is, you want to keep a lid over the top to keep in the water.