They aren’t “files” or “folders” per se, but you could achieve that URL structure. Custom code to create custom post types and taxonomies would be the ideal way, as that could then be filtered, searched, etc. However, you could also do this in a no-code way by adding Pages at each level.
It’s difficult to answer the “will it be worth it for SEO?” question canonically. Generally speaking, in most cases, if you have a well-established URL structure, SEO suffers when that structure is changed unless that established structure was incredibly poorly organized and bad for user experience. It is likely that any SEO gains you might eventually achieve would not be worth the hefty effort of reorganizing everything and painstakingly 301 redirecting everything. It is also almost certain that SEO algorithms will continue to evolve, so even if you did see gains, it’s equally likely those gains may be negated in the future when other ranking signals take precedence.