There's level progression and gear progression. Levels give skill points that can be used in a skill tree to give new abilities and bolster existing ones. As you level up and invest more points, you'll be able to jump more before landing, see enemies and treasure through walls, etc. Gear progression is handled via relics. In the case of weapons, they can change the damage, crit percentage, fire rate, reload speed, mag and ammo pool sizes, etc. Similarly on armor they can give more HP, chakra, reduce movement cost, extend acceleration / wall running / slide distance, etc. Some stats can actually be on both armor and weapons, but I'm not going to get into the nitty-gritty.
Then there's legendary relics that are more complex in their effects. Legendary relics can do things like make a head shot return to the magazine, or the first/last shot from a mag to do more damage, or increase damage during slides / jumps / dual wielding. They can significantly alter the way weapons are used. SMGs with an infinite ammo pool are a very different beast than normal where you have to worry about how fast they burn through ammo. The double bladed plasma sword can attack to your rear without giving up coverage to the front. A blade wave divided into 3 waves instead of one can cover a much larger arc as you release it. (This, by the way, combined with a relic to widen the waves and make them travel further along with one to make the charge faster and for less chakra can alter blade wave into a primary attack mechanism.).