The shipping methods page allows you to add and setup global and vendor specific shipping methods and setup how shipping methods are handled.
Most shipping methods will need a configured shipping gateway before they can be used to obtain a shipping quote.
Please note: Almost all realtime shipping methods need configured shipping gateways and access credentials from the shipping gateway providers to retrieve shipping quotes from their servers. Internal (custom shipping methods) that don’t need to access third party servers to retrieve shipping quotes, don’t need any special shipping gateway configuration.
Whereas shipping gateways are necessary to retrieve shipping quotes, shipping methods define, what shipping “types” are allowed for a gateway and allow you to configure these types (add fees, restrict them to a certain area, etc.).
e.g.: Shipping Gateway:
Shipping Methods: