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.

retropiemenuwifi

It will open into this menu:

wifi1

Choose your SSID from a list:

wifi2

Type your Wifi Password (You may need to wait a bit after you finish for the configurations to save)

wifi3

After it's done configuring you should see your wifi info in the original menu:

wifiinfo