UK Keyboard
[see below for other languages]
Cmd ⌘ `
Cmd ⌘ Shift ⇧ ` to go the other way.
Left of z on a UK keyboard [non-shifted ~ ]

Note: This only works if all windows are in the same Space, not if they are spread over multiple Spaces, or if any are fullscreen.
To overcome this for non-fullscreen window, use Cmd ⌘Tab as usual and on the icon of the application you want to switch windows in press the down arrow key (with Cmd ⌘ still pressed). Then use left/right keys to navigate to the desired window across spaces and desktops. To emphasise, This fails for any fullscreened windows, whilst continuing to work for any that are not.
You can also achieve this by right-clicking the app's icon in the Dock - this is the only method that will also switch to fullscreen windows, the other methods will not.
From comments - You can check which key command it is for your language by switching to Finder, then look at the Window menu for 'Cycle through windows'...

BTW, specifically in Chrome, Safari & Firefox, but no other app I know of on Mac, Cmd ⌘ (number) will select individual tabs on the frontmost window.
It also would appear that Cmd ⌘ ` is yet another of those language-specific shortcuts; so if anyone finds any more variants, please specify for which language & keyboard type.
If anybody finds new combos for different languages, please check Keyboard layout here - This is a mirror of the very useful old Apple KB page, now gone from Apple How to identify keyboard localizations - & add that as well as which Input Source you use in System Prefs > Keyboard > Input Sources.
Add a keyboard picture from the KB page too, if that would help.
That will make it easier for future Googlers.
Further info:
You can change the keys in System Settings… > Keyboard > Keyboard Shortcuts… > Keyboard
though it doesn't list the reverse direction, it does still work when you add shift to that new combo. I tested by moving mine from ` (and ~ ) to § (and ± )

You can use the alternative of Ctrl ⌃ F4 [visible in the prefs window above] but that almost indiscriminately marches through every single open window on all Spaces, without switching to the correct Space each time. It's really not too useful unless you use a single Space, just included here for completeness.
Answer from Tetsujin on Stack ExchangeUK Keyboard
[see below for other languages]
Cmd ⌘ `
Cmd ⌘ Shift ⇧ ` to go the other way.
Left of z on a UK keyboard [non-shifted ~ ]

Note: This only works if all windows are in the same Space, not if they are spread over multiple Spaces, or if any are fullscreen.
To overcome this for non-fullscreen window, use Cmd ⌘Tab as usual and on the icon of the application you want to switch windows in press the down arrow key (with Cmd ⌘ still pressed). Then use left/right keys to navigate to the desired window across spaces and desktops. To emphasise, This fails for any fullscreened windows, whilst continuing to work for any that are not.
You can also achieve this by right-clicking the app's icon in the Dock - this is the only method that will also switch to fullscreen windows, the other methods will not.
From comments - You can check which key command it is for your language by switching to Finder, then look at the Window menu for 'Cycle through windows'...

BTW, specifically in Chrome, Safari & Firefox, but no other app I know of on Mac, Cmd ⌘ (number) will select individual tabs on the frontmost window.
It also would appear that Cmd ⌘ ` is yet another of those language-specific shortcuts; so if anyone finds any more variants, please specify for which language & keyboard type.
If anybody finds new combos for different languages, please check Keyboard layout here - This is a mirror of the very useful old Apple KB page, now gone from Apple How to identify keyboard localizations - & add that as well as which Input Source you use in System Prefs > Keyboard > Input Sources.
Add a keyboard picture from the KB page too, if that would help.
That will make it easier for future Googlers.
Further info:
You can change the keys in System Settings… > Keyboard > Keyboard Shortcuts… > Keyboard
though it doesn't list the reverse direction, it does still work when you add shift to that new combo. I tested by moving mine from ` (and ~ ) to § (and ± )

You can use the alternative of Ctrl ⌃ F4 [visible in the prefs window above] but that almost indiscriminately marches through every single open window on all Spaces, without switching to the correct Space each time. It's really not too useful unless you use a single Space, just included here for completeness.
On US keyboard:
Next window: Command ⌘ `
Previous window: Command ⌘ Shift `
` is the key on top of Tab key, so it's similar to Command ⌘ Tab shortcut.

On other language:
Go to System Preferences -> Keyboard -> Shortcuts -> on the left menu, select Keyboard -> on the right menu, select Move focus to next window. You can now change the shortcut to which ever key is on top of Tab in your keyboard to work like intended.
Attention:
Doesn't work when window is in full-screen. In that case, you have to use Mission Control shortcuts, e.g. Ctrl ⌃ → and Ctrl ⌃ ←
The default shortcut is Cmd` (that's a backtick).
You can always change that shortcut if the given one does not work out for you. Go to → System Settings (or System Preferences for older macOS versions) → Keyboard → Keyboard Shortcuts → Keyboard.
Here, assign a custom combination to Keyboard » Move focus to next window (under OS X 10.9 and above)

Above, I chose Cmd<.
This will allow you to toggle between the open windows of any application.
Note:
- Cmd` works only if all windows are on the same workspace (comment @thias).
- Some applications may intercept your chosen shortcut, so you might have to find another one that is unique.
command backtick
⌘ + `
switch between app's open windows? (Was C… - Apple Community
How do you all switch between apps/windows?
How on earth do you use multiple WINDOWS of the same app??
macos - Mac: Shortcut for switching between two windows of the same application - Stack Overflow
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Switching between open windows of the same application and apps is such a hassle on mac, on top of it the Finder app is always open and I constantly accidentally switch to it.
On windows it's hassle free, new windows of the same app creates a new instance of the app, therefore the same command is used for switching between apps and windows + there is no Finder app in your system all the time.
Just to add an example, I usually have a site and developer console in chrome open, so a minimum of two windows. As well as several windows of another app, and a third app. (Then there is the f***** Finder)
How do you all use the mac? Give me some tips please. This is slowing me down so much.
Also if you know an easy way to make it act as it does on windows let me know.
i'm still struggling after a month of switching to a mbp.
on linux and windows (yes, yes, i know, macos is not windows or linux, blahh) it is 100% natural and logical that you can open multiple, e.g., chrome windows for different topics. i often have 5+ chrome windows to work with. messaging, work, research, crypto, whatever else comes up. sometimes things require their own window with a couple of tabs, and i need them to stay open in the background to get back to them later, or switch frequently.
now on my new mbp, i have so far not found any way to use more than 2 windows of each app. mission control is an absolute DISASTER, stacking windows in random order and on random places of the desktop, on top of each other, without name, without a way to even really see what's inside each window.
the dock doesn't display multiple windows either, there is a way with rightclick, that opens a list of windows, which comes closest (and that's not close at all) to the behavior i expect and need.
i tried raycast which does have a "switch windows" shortcut, but that's incredibly clunky and also only displays the name of the app and shuffles the windows around, no preview, no muscle memory to quickly switch to the window you are looking for.
i am going crazy. is there really not a way to do this properly on macos? is there a 3rd party extension i need? i refuse to believe that mac users just accept this (or don't have the need in the first place)
The shortcut is defined in System Preferences > Keyboard > Shortcuts

⌘` is the default, Check the shortcut and if it's enabled at all
Using CMD + Shift + Backtick allows you to cycle through windows.
To select a specific tab in a window you can use CMD + a number.
You may have this disabled in your settings. System Preference > Keyboard > Shortcuts