Fundamentally, political endorsements are an indication that the endorsing entity (whether group or individual) believes the endorsee is the best individual for the office being contested. This can help candidates via the following effects (but not limited to):
Endorsements can help voters decide of who to be informed about based on endorsements from political entities they already trust. Voter's already trust some politicians and politically linked groups for various reasons, and endorsements are the surest way for a candidate to tap into that trust without having to build it from the group up.
For instance, if a popular governor in the (hypothetical) State of Lincoln endorses Candidate A, it is probable that the voters in Lincoln would at the very least take a serious look at Candidate A due to their governor's support, if not blindly vote for Candidate A based on said endorsement.
Very closely tied to the above, endorsements from already established and known entities can legitimize the candidacy of an otherwise under-looked candidate, as the assumption is the endorsing entity would not waste an endorsement on an unimportant individual.
While not required, securing the endorsement of a entity is often a step signifying that entity's resources will be put to use for your campaign, which can be a major boost to a candidate if the endorsement comes from a larger group.
More relevant to the general election, endorsements from a large number of respected political individuals and groups can have a rallying effect. Effectively, if everyone in the party is "actively" participating instead of sitting on the sidelines, it can build excitement in voters to vote or even campaign for the chosen candidate, and present the party as a unified front against the other opponent(s) in the field.