This is a core block and thus available by default in Gutenberg WordPress editor. No download required.
The WordPress Categories Block in Gutenberg is somewhat similar to the categories widget. The categories block displays all your post categories linking to the respective category archive pages.
Categories Block Features
The block toolbar has options for alignment. By default, the categories are displayed as a list. But it has an option in the bock settings to display the categories as a dropdown. It also has options to show as hierarchy and show post counts.
This is how the categories block looks on the frontend. The styling may be different depending on the theme you use.
Categories block tool bar options.
The settings panel in sidebar for the categories block.
Categories block has option to display post counts for each category item.