Unlike traditional cPanel hosting, WP Engine offers no “file manager” within their customer portal web interface.
In order to access your files, you’ll need an SFTP client, SSH access or a plugin that offers file browsing and management features.
Thankfully, creating an SFTP account is easy thanks to my handy dandy WP Engine How To SFTP article!
If you prefer a WordPress plugin (please don’t) the top dog File Manager plugin with over 1 million installs seems to be the aptly named File Manager by user mndpsingh287 (yes actually).