Try Tools>Material Properties and if you could at that stage hit F1 for the documentation then you'll get a better explanation than what I offer in words. What you access is a material library which applies density to your solids.
The library of materials is modest but reasonably useful. You can add to it if you wish but in order to do so you will need to carefully edit a series of files in ways that are also a little complicated to explain without being certain that you'll need to do so.
If you have an Advanced Assemblies licence you'll be better able to use weight management which is found under File>Properties and the Weight tab. You can update the weight calculation for each file enable that it will be updated and saved when the file is saved each time. Those settings can also be enabled permanently under the customer defaults.
There is a separate set of materials used to change the appearance of objects in renderings as well an the two are not linked. It is to be found under View>Visualisations>Materials/Textures and comes into its own if you have the higher quality rendering available with some licence bundles.
As I understand it neither set of defaults is linked to the setting of mechanical properties for some of the engineering strength solvers. This is something I'm less personally familiar with but I have seen some discussion on here about plans to change some of that. So it may vary from one version to then next.
...function not only will the density be properly set, but so will all of the material information needed by any of the CAE applications. In addition, both a Part and an Object attribute will be created for the Material name, so that when creating Assembly Parts Lists you can have a Material column and the assigned material names will be included.
John R. Baker, P.E.
Product 'Evangelist'
Product Design Solutions
Siemens PLM Software Inc.
Cypress, CA
...approach, while it still works, is no longer the recommended way to go. It's basically an old fashioned function where you had to explicitly enter the value for the specific density of the desired material. The workflow I recommended uses a material database which will set not only the Specific Density, but also the material specs needed to support CAE applications as well as assigning Material attribute data suitable for use in Parts Lists and where other automated text values are needed.
John R. Baker, P.E.
Product 'Evangelist'
Product Design Solutions
Siemens PLM Software Inc.
Cypress, CA