First: make a beeline for baggage claim
Just as a precaution, make sure you get to your baggage carousel as soon as you can. The sooner you get to that rotating belt, the less time there is for anyone with sticky fingers to get their hands on your bags or mistake it for their own. In any case, big airports usually scan all the bags when moving them into the baggage carousel so they should be able to see if your bag was actually there.
Second: don’t panic
Not panicking is usually easier said than done, but keep in mind that things don’t just vanish into thin air. Airports are huge and flights get delayed all the time. It’s possible that your luggage was put on a later flight arriving at your destination and you just need to wait a little while longer for it. If that’s the case, the issue is usually done in a few hours. If the luggage has been sent to a different airport, it can take a day or two. But in that case, your airline would be tasked with sending your luggage to wherever it is you’re staying.
Third: write a damages claim
Baggage is insured by airlines and passengers can claim (in writing) up to $3,500 for missing luggage (although such a claim would require receipts or other proof). That being said, airlines do not take responsibility for things like money, jewelry, or other valuables should be packed into your carryon and by your side at all times.