If you selected Visible (Left aligned) or Visible (Right aligned) as Sidebar style and the sidebar still does not show, check Blog listings > Styles > Layout > Layout style. The visible sidebar can only be used with layouts of two columns or fewer (1 Column, 2 Columns, 1 + 2 Columns, 2 + 1 Columns, Masonry (2 Columns), List and the list combinations with one or two columns). With any layout that contains three columns, such as 3 Columns or Masonry (3 Columns), the sidebar is not rendered, because there is no room left for it.
Either switch to a layout with two columns or fewer, or keep your layout and choose Floating as Sidebar style, which works with every layout. The same rule applies to the Author page and Tag page layout and sidebar settings of the module. Click Publish to apply.