Change the default gray background in Blender and replace it with a HDRI with a single click.
In Blender the scene background is refers as world background. All the settings to change the world background will be located in the world properties with a globe icon in the bottom right panel.

Changing color
Changing only the background color or intensity of the scene can be done using color option in the world properties.
Click the gray rectangle box next to option color
a color wheel will open up, then pick whatever color you want from the color wheel.
Increase the color intensity with “value“

Changing HDRI in Blender
To change the HDRI in Blender, click on the little yellow dot/circle beside Color in the world properties
Then choose Environment Texture

Now click on “Open” and choose the HDRI file you have downloaded.
After selecting the file click on “Open Image“.
Now your background will be changed to the HDRI we selected. You have to be in the render mode to see the changes.

Best place to download free HDRI
There are a handful of websites who provides environment textures for free with very high quality with 2k, 4k, 8k, 16k Etc.
The most popular sites who provides it for free are Three.
Poly Haven, HDRIHaven, and BlenderKit
These websites provides you indoor, outdoor lighting in different scenarios.
Inbuilt Environment textures
Blender provides 8 free inbuilt environment textures.
These texture folder opens by default when we choose environment texture. If in case you didn’t find the folder by default,
The location of Blender default environment texture will be found in the folder where you have installed the Blender.
Default Location
C:\Program Files\Blender Foundation\Blender 3.5\3.5\datafiles\studiolights\world
Note: The folder names will change whenever the new version of Blender is installed. currently I’m using Blender 3.5, so the folder name is 3.5… Instead of copy pasting the above line Simply navigate the folder where you have installed the Blender software.