So to start, any iPhone (or mobile phone for that matter) is a location tracker that is always on you and tied to your identity (SIM card).
iOS
Now let’s talk about your iPhone’s Operating System: iOS.
According to a study published in March 2021 (PDF) by a team of researchers from Trinity College in Dublin, iOS sends a lot of data about your phone to Apple, such as your phone number, your unique device identifier, your location and your IMEI number.
You can disable some of this data collection (but not all) in Settings > Privacy > Location Services.
iOS also uploads a copy of all your pictures, contacts, calendars, notes… to Apple to synchronize it across your devices and keep a backup in case your iPhone is lost or stolen.
Thus, anyone who has access to your iCloud account, whether it be a hacker, an Apple employee, or a government agency, has also access to that data.
Again, this can be disabled in Settings > Apple ID > iCloud, and then toggle off what you don’t want to upload to your iCloud account.
Finally comes Siri, and this is where I think that Apple is the most dishonest. By default, each app that comes preinstalled with the iPhone, and each app you download from the App Store is used to train Siri on your data. The problem is: it’s not totally clear what data is uploaded to Apple to train Siri in the cloud, and what data stay on your device for local training.
Anyway, you can go to Settings > Siri & Search and disable everything, and then for each app toogle off Learn from this App, Suggestions - Show on Home Screen, Suggestions - Suggest App.
And don’t forget to do that each time you install a new app from the App Store.