"To explore these themes" means to examine or delve into specific ideas or topics in order to gain a better understanding or share insights about them. Full definition
The exhibition of photographs explores the theme of identity through the lens of self, society, and gender. (yanceyrichardson.com)
Her work explores themes of identity, representation and memory. (mercerunion.org)
I make a lot of material and use it towards one painting, and explore that theme in depth, as opposed to spreading it out over a number of works. (brooklynrail.org)