How to create objects other than primitives?

Hi, I'm very new to unity and basically this friend's idea is what brought me to unity in the first place. So i looked around and couldnt figure out how to make objects in the game that are not the primitives like say I wanna make a mansion or maybe an animal or like a character something like. I dont see any options in the gameobject menu, so do I need to like create those first in some 3rd party software and import it here or will the unity allow me to make those right in there?

Also if its absolutely necessary to make it else and import, could you please recommend a few free, easy software which i'd be able to use.

Thanks