Internal links play a crucial role in SEO success by helping visitors navigate a website and boosting its performance. They direct the flow of PageRank, pass authority, and allow control over the user experience. Internal links also aid search engines in discovering new pages and provide context through anchor text. There are different types of internal links, including navigational, contextual, breadcrumb, and footer links. To set up an effective internal linking structure, plan it strategically and create a top-down pyramid structure. Link to important internal pages and relevant content, ensuring that the links make contextual sense. Auditing internal links periodically is also important to maintain SEO performance.