Good afternoon Adnoh,
Welcome to the Apple Support Communities!
Congratulations on the purchase of your iPhone SE, Apple Watch and MacBook Pro!
It's a challenge to learn how to use all of this new technology, but there are a number of excellent resources (see below) in addition to this great community to help you get started.
It sounds like you have data in a number of different formats (spreadsheets, graphs, screenshots, etc) that you would like transfer to your MacBook Pro.
Initially, we would suggest enabling iCloud on all of your devices. This will keep your contacts, calendars, photos, notes, etc. synchronized between all of your devices. It's important to understand what this means. Anything you add, edit, organize or delete on one device will be done on all of your devices at the same time.
When you take screenshots of your Apple Watch and iPhone, we suggest organizing them into one or more albums in the Photos app to easily find them. Also, take the time to give them a title by swiping up on the photo. These albums and images will appear in the Photos app of your Mac and can be dragged into documents you create in Pages or Word, or in the Notes app.
You can combine health data from different sources into the the Health app on your iPhone.
Data can be downloaded from websites for the different apps that you use, and these can be synchronized between your iPhone and your Mac by using the Files app to store them in iCloud Drive. We also suggest creating a folder (or subfolders) on your Mac and moving files from the Downloads folder to your "Health Info" folder to keep them organized.
The Notes app is an excellent way to keep all of the information you gather in one place. You can create as many folders (subjects) as you need. Copy and paste website links, type some notes after reading a book or article, etc.
Manage Health data on your iPhone, iPod touch, or Apple Watch
Introduction to iCloud - iCloud User Guide
Set up iCloud Photos on all your devices - iCloud User Guide
Use iCloud on iPhone - iPhone User Guide
Set up iCloud Drive
Notes User Guide for Mac
Use Notes on your iPhone, iPad, and iPod touch
Use the Files app on your iPhone, iPad, or iPod touch
Hopefully, these ideas will get you started. Reach out to us if you have more questions.
Enjoy your day!