There are two characters: Vale and Eva. You only have Vale at the start and you Unlock Eva by beating the game with Vale. Depending on which character you choose, it will be your character throughout the game. It DOES affect Your game. Vale is your starter character with basic crafting and nothing too special. Eva Comes with a bow and arrows which are really powerful due to them being ranged weapons. she also has more crafting recipes than Vale but her game is Noticeably harder.
(Please fix this if there are any mistakes! Thanks!)