I have downloaded the content of a current website using FileZilla, to make some changes and then upload those changes.

I created a new site and DB through XAMPP, I copied the previous content in the new folder, and in the Admin Dashboard I can see our folders and themes we are using, but when I select a theme of ours, is not loading anything and I realized that post, comments and all the content is not there, so, how can I access to our content to make those changes?

UPDATE: First of all thank you so much for those for your comments, I will try what you guys recommend. And in the way that I did the process was following the steps located in this link https://jetpack.com/blog/wordpress-localhost/