To enable shop’s Sidebar / Filter feature on your WooCommerce Shop page, navigate to Appearance > Widgets.
Choose the widgets you need and drag-and-drop them into the Shop Sidebar. This is what you should be seeing on your screen:
If the sidebar doesn’t show up, make sure it’s enabled in Appearance > Customize > Shop
To switch from having a “Filters” link that opens up the off-canvas sidebar into an actual on-screen sidebar, navigate to Appearance > Customize > Shop and make sure the Shop Sidebar box is checked.