There is a big conceptual difference between a RPi and Arduino/ESP.
The RPi is in essence a complete computer with CPU, memory, ports etc.
The Arduino on the likes are microcontrollers (MCU), basically a single chip that can run a program with a very specific task.
Microcontrollers do not have a [conventional] Operating System, only one single program stored in Flash (on the MCU chip).
This program is compiled on a PC, and then flashed to the MCU (over USB) - it will be the one and only thing running on the MCU. So no use for an SD card.
To interact with the microcontroller one uses typically buttons and for example LEDs - the MCU does not have a GUI or anything, and no use for a mouse or keyboard either.
If you want to use a display, then it would be a very tiny display (usually only capable of displaying a few characters), since the MCU is not powerful enough to run a full screen.
See the MCU as a chip, or IC, which has a very specific function.
The MCU is also not capable of multitasking like in a PC.
To move data from an MCU to for example a RPi, you can use several methods.
I think the most common way is by serial communication, but I have never had a need to connect the two.
Maybe this project gives you a better insight.