One of these are Lares (in the singular form: Lar). Such was the collective name of various minor guardian deities, depicted in the form of smaller statuettes and kept in the homes of Romans. This tradition was probably derived from even more ancient customs of the Etruscan civilization, the word itself being derived from the Etruscan term for "lord".
In the game, these little figurines can be found in various places on Avalon, wherever there is sign of Roman inhabitants. These appear in the game as collectibles, however, they do not appear in the inventories of the legionaries. Instead, you will need to build a new type of building in Nova Roma, called the Lararium where these figurines will be displayed.
Here you will have six slots for Lares you can own, and one to be selected as active (two if you upgrade the building). Once these Lares are active, they will provide passive bonuses for all legionaries, such as applying some kind of extra damage type or gaining back resources like Vitality and AP during combat encounters.
Be always on the lookout for these Lares during your travels to maximize your advantage against the forces that work against the interests of Nova Roma. Until then, please make sure to wishlist King Arthur: Legion IX.