In addition to setting a particular posts page, you have to have a theme that will accomplish your goal. Most likely your theme’s Page template, which is what is being balled by your blog Page, only outputs the content of your single Page.
You can create a new Page template for this page in several ways, but unless you have a custom-coded theme already, you’ll first want to set up a Child Theme which is basically a style.css file with specific comments to help WP recognize it as a child theme, then add a file such as page-blog.php or tpl-blog.php which would need specific comments to have WP recognize it as a template. If you use page-blog.php it will automatically apply to your blog page. If you use tpl-blog.php you’ll then need to select it on the Page editing screen.
Either way, you’ll need to either filter with pre_get_posts to change your query to pull the latest Posts, or if you want to be able to add content to your Page itself above the blog posts, you’ll need to display the_content in your template and then run a custom query.