That's a pretty broad question.
Please start here:
https://winscp.net/eng/docs/guide_schedule
And ask more specific questions, that you face, while implementing this.

Hello, I am sure you can help.

I have a client that eventually uploads files (.xlsx, .txt) to my SFTP to update me on the operation data which I currently download and process manually.

Here comes my query:

It is possible to automate the transfer of these files to a local directory, to later be taken by some ETL and imported into my SQL server DB.

I will be very grateful to guide me on the documentation to read or the steps to follow to successfully carry out this project.