If you are switching to a new theme (ex: switching from Parallax to Turbo), you will have to setup any sections that you had previously created in the theme editor, as well as re-configuring all of your Theme Settings (colours, typography, logo etc) as these do not get carried over when changing to a different theme.
What gets carried over automatically?
All of your content from Shopify will get brought over. This includes all of your products, pages, blog posts, collections, navigation etc.