Covenants grant two additional gameplay abilities, one being class-specific. It alters your playstyle. Covenants grant unique armor styles and special capes that look a little more like accessories. Titan-like Kyrian capes look more like angel wings, for example. Each Covenant has a unique campaign similar to those found in Battle for Azeroth and Legion.
The Shadowlands were originally intended to be a fully playable zone in World of Warcraft, designed for high-level play. The idea was that as deceased characters made their way back to their corpses, they'd see high-level players battling creeps in the area, which would inspire lower level players to increase their character level so they could experience the zone for themselves.
Alpha Beta PTR Vanilla 1.1.0 1.2.0 1.3.0 1.4.0 1.5.0 1.6.0 1.6.1 1.7.0 1.8.0 1.8.4 1.9.0 1.10.0 1.11.0 1.12.0 Burning Crusade 2.0.1 2.0.3 2.0.4 2.1.0 2.1.2 2.2.0 2.3.0 2.4.0 2.4.3 Wrath of the Lich King 3.0.2 3.0.3 3.0.8 3.1.0 3.2.0 3.2.2 3.3.0 3.3.3 Cataclysm 4.0.1 4.0.3a 4.0.6 4.1.0 4.2.0 4.2.2 4.3.0 4.3.2 Mists of Pandaria 5.0.4 5.0.5 5.1.0 5.2.0 5.3.0 5.4.0 5.4.7 Warlords of Draenor 6.0.2 6.0.3 6.1.0 6.2.0 Legion 7.0.3 7.1.0 7.1.5 7.2.0 7.2.5 7.3.0 7.3.5 Battle for Azeroth 8.0.1 8.1.0 8.1.5 8.2.0 8.3.0 Shadowlands 9.0.1
Claim a covenant's power: players will be called upon to forge a bond with one of four covenants that rule Shadowlands' new zones, setting the tone for their journey through the expansion with a full covenant campaign. As they level up, they'll get new abilities based on their choice, including class-specific abilities for each Covenant—as well as developing soulbinds with specific covenant members, which grant them access to that character's specific traits and bonuses.
During the Burning Legion's third invasion, the Knights of the Ebon Blade traveled to the Shadowlands to acquire the Aggregates of Anguish, five tormented essences of powerful souls - Admiral Proudmoore, Soulbinder Nyami, Grand Empress Shek'zeer, Grand Apothecary Putress and Archmage Arugal. Salanaar required these to conjure the Steeds of the Damned for the order's new Horsemen.