Shell like bash or sh are application which provide you a way to run other application/commands via the command line interface.
Most of the command and applications which you run (like vi, nano, ls, fsck etc) are separate applications, when you type in any of these commands the shell looks them up and runs them.
you can use a command called βwhichβ to find out where a particular command file is located. (e.g. which ls will give you where ls command is)