Not unlike The Legend of Zelda: Breath of the Wild, weapons in Hyrule Warriors: Age of Calamity need to be changed out regularly to make sure they're strong enough to face increasingly difficult enemies.
In BOTW, that meant finding new ones or hoarding powerful ones to take on the random Lynel or Guardian. In Age of Calamity, there's a convenient place to do all your weapon upgrading: The Hylian Blacksmith Guild.
You can unlock the Guild, found on the map below Korok Forest, after the second level of Chapter 1.
Fuse weapons to upgrade them. Select a character and a menu will pop up with all their weapons. Remember, this action costs rupees, so make sure you have some of those as well.
Select the weapon you want to upgrade. In this case, I chose the boku club. Once you select the weapon, you can choose how many other weapons you want to fuse it with to make it stronger.
The blacksmith can fuse up to five weapons together. You will permanently lose the weapons you choose to add to the selected one. Here's my creation.
I'm not saying you need an oversized boku club (it's essentially a stick!), but it's cool that you can. Experiment with all kinds of different weapon combinations to see what you come up with.