The Bible says in numerous places that Jesus Christ will return at the end of the world to judge the living and the dead (Acts 10:42, 2 Timothy 4:1, 1 Peter 4:5). But where do our souls go in between our death and the second coming of Christ/the final judgment?
Our souls go to be with the Lord
When the apostle Paul was facing the possibility of his own death, he said that he was content with whatever the Lord chose for him, either life or death, because if he was away from his body (namely, physically dead), then he would be at home with the Lord (2 Corinthians 5:8, see also Philippians 1:23). This verse indicates that while our bodies stay on earth and decay physically, our souls go to be with the Lord. Also, in Luke 16:19-31, Jesus tells the story of two men who die and then meet each other in the afterlife. The poor man Lazarus is with father Abraham (namely, in heaven) apparently having been justified by faith while the wicked rich man is suffering agony as he waits for the final judgment. Clearly here, we see that after physical death, our souls have continued conscious existence.
For those who have trusted in Christ, that existence is in the presence of God in heaven (see Revelation 6:9-11). For those who have not trusted in Christ, we may deduce from the story of Lazarus and the rich man (Luke 16:19-31), that their souls undergo torment apart from the presence of the LORD until the final judgment.
Soul and body will be reunited
At the final judgment, when Christ returns, our soul and body will be reunited with each other. This is true for both the righteous and the wicked. Those whose physical bodies have been destroyed during the intervening years will receive a new resurrection body. This is not a different body but a renewed version of the body that they had previously (1 Corinthians 15). The bodies of people who are still alive when Jesus returns, will also be transformed. At that time, after body and soul have been reunited, the righteous and the wicked will be judged by Christ, and will henceforth live with Christ forever in the New Jerusalem or be thrown into the lake of fire (Revelation 20-22).