You can always see your health in the red bar on the lower edge of the screen. And since your level of health also determines the maximum level of stamina, it's important to keep a close eye on it.
You usually heal yourself with food and sleep and by relaxing in a bathhouse. This takes a while, so if you need to heal quickly, drink a healing potion.
Serious wounds to parts of the body will seriously affect your abilities. You can't run with injured legs, wielding a sword isn't easy with a broken arm etc. You can easily see which parts of your body are wounded in the inventory around the figure of Henry.
Bleeding is a specific type of injury. If you are bleeding, you must quickly bandage the wound, otherwise you will soon bleed out and die.
That’s why it always good to have bandages with you, and the more the better, since one bandage may not be enough for a larger wound. You can apply a bandage by going to the Inventory 
finding a bandage in the Other tab, equipping it and then selecting the part where you are bleeding.
Keep in mind that during combat it is not possible to heal yourself!