Like others said, usually a missing bag arrives on a later flight. That's because the most likely reason for the delay is that baggage handling was running slow or there was a minor goof in handling your bag, like it fell off a conveyor belt or baggage cart and wasn't recovered until too late to make your flight.
On occasion a bag gets badly mis-handled, and getting it to the right place can take days. That happened to one of my bags a few years ago. The routing tag got torn off during handling. Southwest sent it to a lost bag center in Florida and only there figured out it was mine and how to get it to me.
Note that Southwest's policy for reimbursing a bag as lost requires you wait five days before making a claim.
During the interim you may be able to get compensation for ordinary items you buy to make do while waiting for the bag. For example, if your clothes were in the bag, you could (and should!) request reimbursement for buying a new set of clothes to wear. But be ready for Southwest to give you a hard time about this, even if you're only asking for reimbursement for inexpensive items such as a package of underwear and socks at discount store prices. When it happened to me, they were like, "Well can't you wash the clothes you're wearing and wear them again?"