In Delve you'll find Word, PowerPoint, Excel, and PDF documents - that are stored in OneDrive for Business, in Sites in Office 365, or that have been shared with you as attachments in emails. You may also find videos* that have been uploaded to Office 365 Video.
You'll only see documents that you already have access to. You will not see documents that are stored in private folders unless they're shared with you.
Documents and videos are shown as content cards surfaced on different views. To learn more about the content cards, see How to use the content cards in Delve and What kind of information will I find in Office Delve.