Typically your personal files and app settings are stored somewhere in your user home folder, eg under /home/bob/. Ideally you’ve set up your system in a way so that the entire /home/ folder is stored on its own disk or partition at least. That let’s you boot up a different distro while using the same home directory. But even if you haven’t set it up separately from the rest of the system, you can still manually copy all those files.

Not every single application setting is transferable between distros as they sometimes use different versions but generally it works well. Many apps also let you manually export profiles or settings and reimport them elsewhere later. Or they have online synchronization baked in.