You can unlock new heroes once you reach certain Arena levels.

You can get most heroes from chests that can be found in Fight Pass, marathons, tournaments, or purchased in the store. We also hold various in-game events that let you expand your hero collection. Some special offers in the in-game store can also contain heroes.
To unlock a hero, you have to collect 10 shards. You can see how many hero shards you have in the Heroes Library.
 
All the heroes in Shadow Fight 4: Arena can be obtained for free.