Breadcrumb navigations have two big benefits for websites, they give users a better orientation and they are an easy way to improve the internal links. Furthermore when using structured data for the navigation, it will even be visible in the SERP Snippets.
To implement a breadcrumb navigation with structured data on your own, you can check out schema.org. You can find there structured data for different page types and a good documentation to get started. But keep in mind, implementing a breadcrumb navigation for your whole WordPress website is a tone of work! Here is a code extract of a Breadcrumb WordPress plugin.
I recommend you to install a plugin that does all the work for you. On this website I use the plugin Breadcrumb Navigation for SEO with Microdata. It is very easy to use and contains structured data.
It has plenty of options to configure the appearance of the breadcrumb navigation. Fort example it is possible to choose between the most common WordPress Themes like Twenty Thirteen, Twenty Fourteen, Twenty Fifteen or Zerif. In case you use another theme on your WordPress website there is also the option Default which will most often fit the requirements of other themes. Furthermore it is possible to set custom texts and colours of the links.
To sum up, this plugin will be the perfect choice if you are looking for a WordPress plugin that implements a breadcrumb navigation with structured data mark-up to your website.