I was not expecting to find browsing the web with a keyboard so damn tricky on macOS, but here we are 😂 The tl;dr of the situation is:

• Enable "Use keyboard navigation to move focus between controls" in System Preferences --> Keyboard --> Shortcuts;
• In Safari, turn on "Press tab to highlight each item on a webpage" in Preferences --> Advanced;
• In Chrome, turn on "Pressing Tab on a webpage highlights links..." in Settings --> Appearance;
• In Firefox, open a new tab and enter about:config into the URL bar; create a new "integer" value; give it the name accessibility.tabfocus; and set the value to 7 (who knows what black magic that actually does, but it works 😅)

It's best to enable everything and then restart each program. I didn't need to restart the Mac itself, but it's always worth a try too, I guess.