Excellent question. Most WordPress themes are made to work with a service called Gravatar (http://gravatar.com). Gravatar is for “Globally Accepted Avatar” and the idea behind it is you create an avatar there and it works across WordPress sites.
The theme is made to pull a Gravatar if it’s available. If you’d rather not do that, there is also a plugin called Simple Local Avatars (https://wordpress.org/plugins/simple-local-avatars/) that will let you upload an avatar on your site by editing your user profile.