Hebrew does not have capital letters. But it does have "cursive": https://en.wikipedia.org/wiki/Cursive_Hebrew . In Hebrew it's usually just called "handwriting" (כתב, כתב יד) as opposed to "print" (דפוס). The letters don't flow into each other like they do in Latin cursive. They're just faster to write.
In Unicode, each letter has just a single code point: e.g. ק is Hebrew Letter Qof (U+05E7). If you want cursive, you use a cursive font, but it's still the same character.
Some letters have a different final form: if they are the last letter in a word, they look different. These are encoded as different characters, for example: the final form of צ Hebrew Letter Tsadi (U+05E6) is ץ Hebrew Letter Final Tsadi (U+05E5). There is a separate key for it on the keyboard.
There's also niqqud, which takes the job of vowels, but that's a whole other can of worms and isn't used in everyday writing. It's only very rarely used to clarify an otherwise ambiguous word.
Oh, for "how do they show emphasis" - nowadays I'd say it's mostly *like this* which in many apps will actually make text bold or italic. But we don't have a way to "shout" like ALL CAPS WRITING IN ENGLISH. It's just not a thing. Often, I wish there was a way.