Hi Jennifer and welcome to the forums!
Great question. The calendar actually creates a link for each category. So, for example, if you have a category called Dance, then you can link directly to that category here: [your-site]/events/category/dance
If you purchase Events Calendar PRO, then that provides a feature to embed the Upcoming Events list widget on any page or post and filter the list to show a specific category.
Does this help answer your question? Please let me know. 🙂
Cheers!
Geoff