You can pin programs, shortcuts, individual sections of Settings app, Control Panel items (not all of them) and folders to Start menu in Windows 10 and here's how:
Go to the place (it can be Start Menu, Settings app, Control Panel (make sure that the view is "Large icons" or "Small icons"), File Explorer or Desktop) where the one you want to pin exists. Right-click on it and then click "Pin to Start" option.
If you see a confirmation popup, hit "Yes" in it.
That's all. Now, you can see that the item is pinned to the Start menu as tile.
If you want to pin a website to the Start menu, then see this guide.
Remember that you can't pin a file by default unless it's an executable file (.exe). Note that the executable files can be pinned using above steps.
However, using the following steps, you can pin other file formats.
Right-click on the file you want to pin and hit "Create shortcut" option. Now, you can see that file shortcut.
Right-click on that shortcut and select "Properties."
In the "Target" field, in the beginning, type "explorer" (without double quotes), hit the "Space Bar" key and then hit the "OK" button at the bottom.
Now, right-click the shortcut, and you can see the "Pin to Start" option. Hit it and then go to the Start menu. There, you can see that the file shortcut is pinned as a tile.
If you wish, you can remove the shortcut and even after that, the tile will work without any issue.
If you want to unpin from Start menu, follow this step - Right-click on the tile you want and then click on "Unpin from Start" option.
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How to Pin to Start Menu in Windows 10