There is a good deal of confusion around website links and SEO. In simple terms, there are two important types of links: inbound links (also known as backlinks), which are links coming from other websites, and outbound links, which are links you create on your own site to other websites.
Linking to relevant resources counts as outbound links from your website to another site that may have further information on the topic you are writing about. For example, if you were a business selling the finest roasted coffee beans, you might link to further information on where the coffee plants are grown.
Google themselves say that links are an important way for them to discover new website pages, including yours. They also say that links add value by connecting users to other resources you're writing about.