Very often, they don’t. There is no lack of “anonymous” statues.
Statues of Gods or mythical heroes are pretty convenient, because such characters almost always have a “tell”. Some attribute that is systematically associated with them.
If a Greek statue shows:
_ A dude with an eagle -> probably Zeus. Becomes certain if there is also a thunderbolt hidden somewhere
_ A trident -> Poseidon
_ A lion skin -> Heracles
_ A woman with some wheat -> Demeter. Could also just be some peasant, but then context should help make the difference between a Goddess and a commoner.
And so on. Some like Hermes’ Caduceus are particularly famous. But almost all major mythological characters have their own attributes to help distinguish them.
And it’s not just Greek Gods. That works for a lot of civilizations. If you find a statue of a guy with an eagle in a church, you can bet that’s Saint John.
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