In addition to what people have said, u need to have 6 points in charisma and unlock the local leader perk in order to have supply lines as an option :)

Go into workshop mode, go to a settler, there should be a supply line option on the bottom of your screen. Use that, send them to the desired location, and now your workshop inventory will be shared between those settlements. Pro tip: Example - start supply line from Sanctuary to Castle, then start supply line from Castle to Bunker Hill. Now all 3 of these settlements will be shared inventories. You can use one settler from each settlement and eventually connect every area, without using multiple settlers from one place. Connect the dots basically.