A lot of games are going to work without you having to do anything and some will need some tinkering. In that case, https://www.protondb.com/ will be your best friend, telling you exactly what you need to do to get things running.

That being said, some games simply can't be run under Linux. They might work in the future as compatibility improves but some won't. If it's an issue for you, you might want to dual boot windows as a workaround.