The place of the dead was called Sheol in Jesus' time and Jesus confirmed it by speaking of it in His teachings - it is a place of all spirits of people while awaiting judgement at the end - the place is divided into separate places for people deemed wicked and people deemed righteous and is full of light for the righteous but places of wicked or other places are dark and some endure punishment there but all are as if in some kind of sleep but conscious - the Greeks called the place of punishment Hades and Jesus reflected this in some teachings. When Jesus died He too went to Sheol and preached in spirit there to ancient people who had been there since the time of Noah (2500 BC) and then Jesus was raised back to life but eternal immortal life so He will one day raise saints to immortal life to reign over the Earth with Him. The place of Jesus now is called Heaven but is hidden and there is not much prophecy to tell us where it is. It might be a place of light but similar to Sheol but where the throne of God is with God actually enthroned there and Jesus ruling with Him over spirits who are not human who we call angels. To say we go to Heaven when we die means we believe we will go to the Sheol place of light or even closer still to Jesus if blessed with that perhaps because of martyrdom. Those spirits of those beheaded for their faithfulness to Jesus are beneath the throne of God and Jesus. When God judges everyone through Jesus after Jesus has reigned a thousand years there will be no more Hades but instead there will be a lake of fire and a city of light whose light is God. It is not usually called Heaven in scripture but usually called the New Jerusalem.
