Console can be connected to the internet using ethernet cable or by using onboard wifi.
Ethernet:
Simply connect the network cable to the onboards ethernet jack, blinking lights indicate the console is connected to the network.
Wifi
To connect the console to a network using wifi connection.
Access the Retropie-Config menu in emulationstation (you can also access it from option 3 in the RetroPie setup script).
Then Select Configure WIFI.
It will open into this menu:
Choose your SSID from a list:
Type your Wifi Password (You may need to wait a bit after you finish for the configurations to save)
After it's done configuring you should see your wifi info in the original menu: