It is only data. But the 2030s have advanced 3D- and chemical printers/"fabbers" (much more advanced than ours) and can build anything that they can be given instructions for.
In the first episode, the headset is paid for by Milagros Coldiron, but it is printed at the 3D printing shop where Flynne works:
MACON: Burton said to fetch this home.
FLYNNE: What is it?
MACON: Just the coolest fսcking thing we've ever fabbed.
The Peripheral, episode 1, "Pilot"
In the second episode, Flynne's mother is healed of her glioblastoma with a future drug; the instructions for creating ("printing") the drug are sent to Pharma Jon from future London, and Pharma Jon creates and dispenses the drug.
WILF: We've developed a drսg to treat gliomas. Rather easily. It's like spraying a weed, more or less. I've sent the formula to your pharmacy. They're printing it now.
FLYNNE: We can't afford Pharma Jon.
WILF: We wired payment direct to the pharmacy.
The Peripheral, episode 2, "Empathy Bonus"
The camouflage on the cars would have similarly been fabbed in 2032 using instructions from the 22nd century.