Depends on a lot of things! Like… what their language sounds like, what the character is like, the culture they come from. It also depends on how far you, the author, want to go.
I like to name my characters in a George Martin kind of way… As in, taking recognizable names and giving them an otherworldly twist. For example. I have a character who a) comes from Slavic inspired kingdom b) is a prince and c) has a relaxed and casual personality.
First, I looked through lists of Slavic names, and found that I really liked the sounds of Tatiana. It sounds royal, and is long enough to be pretentious. Next I mess with it. Tatiana is a very feminine name, so to make it sound more masculine I change the -ana to -van. So now his name is Tativan, but since character probably wouldn’t want people to call him by his full name, he instead goes by the nickname. Thus I have a character named Tati.
And uh… that’s my naming process. Hope it helps.