From where do I get shapefiles for all the states in USA at Census Tract level with "population" or "population density" data too?

As Anthony mentioned, tract-level American Community Survey (ACS) data is only published as part of the 5-year series. The most recent data that's available at the tract level is from the 2014-2018 ACS. Tract-level estimates are not reliable enough to be published annually. There's also the decennial census, but the number of variables is more limited and 2010 is receding into the distant past.

Generally this is going to be a three step process: download your shapefiles, create an extract of the ACS data that you want and download it, and then join the two together based on the FIPS ID codes that each record shares.

Unfortunately, data.census.gov doesn't allow you to download data for all census tracts at the same time. The data is packaged state by state, i.e. in advanced search, choose your year and ACS dataset, and under geography select tracts, a state, and all tracts in that state, and then narrow the options down to tables that you're interested in (see this post for details).

Alternatives that allow you to download data in bulk (all tract data for the whole US) include NHGIS and the MCDC's Dexter tool. I wrote a post a few years ago that summarizes these options. The post is a bit outdated, but still applies; at the time I was looking for 2010 census data, but both of these resources will include the most recent 5-year ACS. NHGIS is the simpler option, while Dexter will give you more control in creating specific extracts.