As the name implies, Sunken Caverns are underwater caves that Aloy can swim through and explore. These areas are worth checking out, as they each have a bunch of Greenshine inside, which you will definitely need as you play through Horizon Forbidden West. You will complete a Sunken Cavern by collecting all of the Greenshine it contains. A pop-up in the lower right-hand corner of the screen will confirm you've found it all.
Note: Before you can fully explore Sunken Caverns, you will need to have unlocked the Diving Mask, which allows Aloy to stay underwater without having to come up for air. You will gain this equipment during the Main Quest, The Sea of Sands.