SDL offers cross-platform thread management functions. These are mostly concerned with starting threads, setting their priority, and dealing with their termination.
In addition, there is support for Thread Local Storage (data that is unique to each thread, but accessed from a single key).
On platforms without thread support (such as Emscripten when built without pthreads), these functions still exist, but things like SDL_CreateThread() will report failure without doing anything.
If you're going to work with threads, you almost certainly need to have a good understanding of CategoryMutex as well.
This part of the SDL API handles management of threads, but an app also will need locks to manage thread safety. Those pieces are in CategoryMutex.