They're gods! They're literally gods!
Like chimera, they are entirely made of energy. But unlike chimera, they are made out of an extremely concentrated and powerful form of energy that manifests as a bright, golden color, commonly referred to as Ichor.
Deities bind themself to a domain that gives them energy, and with that energy a Deity can manipulate anything related to that domain. Their ability is firmly connected to their domain, if a deity were to hypothetically change their domain (which they can't do, by the way), their abilities and/or form would completely change.
A deity's form is less fluid and ever-changing, and more like a shell they inhabit that they can change at any time. The true form of a deity is hard for most beings to grasp and comprehend, with it being a manifestation of their domain, so using shells makes socializing with non-deities easier.
Deities can't do everything. They can't manipulate certain constants, like time. Time is a chaotic force, you can't change what's already happened, and the future is simply set in stone, influenced by what you're done, are doing, and will do.