When you first connect to the third-party API you will need to manually import the required Categories (and Products) or map the Categories found to an existing Category in the store.
Once imported you can choose to automatically import new Products via a checkbox option.
Example Product and Category Import screen
To import new products from the API
Example import option for Trends
If you use multiple API connections, ensure the Auto link products by code (Leave unchecked for multiple supplier APIs) option is unchecked in the API settings area.