There are many types of identity; cultural, ethnic, national, religious, gender, professional. These are just some. All of these identities come together and form us as individuals. Let’s break some of these down:

National identity is the sense of belonging to a state or a nation. It may refer to your citizenship, or your ancestor’s nationalities. It is what brings individuals together through shared national symbols, language, history, and other shared elements. For example, when people come together and sing a national anthem, they are showing their national identity with pride.

Cultural identity is the identity or feeling of belonging to a group. It can be tied to national identity, but it can be a wider range of things, like ethnicity, religion, social class, generation, locality. Cultural identity can be shown spiritually and physically. An example of this can be traditional clothing or national dress. In Belarus and Ukraine, a traditional item of clothing is a vyshyvanka, an embroidered shirt or dress which works as a talisman to protect the person wearing it.

Ukrainian "vyshyvanka" Alina Vozna (CC BY-SA 4.0)

Ethnic identity is closely related to both national and cultural identity (as a matter of fact all types of identities are closely related). Ethnic identity, however, is purely related to groups. An ethnic identity links you with a group of people who may have common ancestors, a common language and even a common religion. To give you an example, in Judaism there are various ethnic groups, such as Ashkenazi Jews (whose ancestors came from North and Eastern Europe) or Sephardic Jews (whose ancestors came from more southern areas, like Spain, the Mediterranean and the Middle East) and many more. You may identify with various ethnic groups, but this identity is one of the closest identities that links you to a community.

Religious identity is pretty straightforward, as the name suggests, it refers to the religion you follow but is often closely linked to ethnic and cultural identities. In every religion, there are different types of religious identity, for example Judaism has Orthodox, ultra-Orthodox, Reform, Hasidism, and so many more.
Here is a piece of hidden history for you: Rabbi Shneur Zalman of Liadi (in Belarus) was an orthodox rabbi and founder of Chabad, a branch of Hasidic Judaism. He produced works of mysticism and Jewish law, which created a whole new religious identity within Judaism that is still popular today.

This refers to what gender you identify as.

This is what you do as a living, or in your everyday life. Lawyers identify as legal professionals, doctors identify as medics, students as scholars and so on…