An interactive project allows users to navigate from one page to another. To set up an interactive project, click on 'Interact' on the right side of the screen to launch interact mode.
All components can be linked to a different page. All you have to do is click on a component and drag your cursor to the page you want to link it to. Arrows mapping the connection will then show up to visualize the link.
Update (August 30, 2021)
You can now also link components to screens seamlessly while building by clicking on the lightning icon that shows up beside the component, as in here: