In Google Search Console i have seen some keywords under "How your data is linked". when i click more there is a huge keywords under "Anchor text". What are those keywords? What is the significance of these in my site? What to do with these keywords?
These are terms that Google has found in link text that may influence search to your site.
This list and other similar lists found in other SEO tools both online and using a dedicated GUI application are a good way to see how people are linking to your site. You may find these lists somewhat disappointing because of the lack of diversity. The reality of linking today with so many spam and resource sites means the list may be a bit top-heavy with terms such as the domain name or click here. Still, it can give you an indication of link terms and how to create term diversification in your linking campaigns. Look for in-content terms if you can for a better focus.
I rather trust outside sources more for this information more since they are specifically designed for this form of analysis and can provide better and more timely detail. If you chose to study the Google list, it is a good jumping-off point to begin your study.
Keep in mind that search, as far as Google is concerned, is not about keywords but topics. The original premise of Google as an improved search engine according to the original research paper published by Brin and Page in 1997 is that keyword matching is highly limited in yielding effective search and that semantic analysis, particularly topical semantic analysis, is far more effective in returning relevant results. For this reason, Google was designed to be a semantics search engine from the very first inception.