There are many species of bees with as many different ways of living. However, assuming that you’re talking about a common Western honeybees hive (Apis mellifera) hives are made up of two things:
A Hollow Cavity In nature, this is usually a hollow tree trunk or crevasse in the face of a cliff, etc. However, this could just as easily be a space inside of a wall or attic. If you’re a beekeeper, you’d probably prefer a beehive (of which there are many designs). At its essence, a human made beehive is modified tree trunk.
Wax Worker bees excrete wax through glands on their abdomens. They’ll use this wax to form honeycomb which they build inside the hollow cavity. This honeycomb will provide a surface on which to lay eggs, raise brood, and storing pollen and honey.