What router do you have?
Your router will (normally) hand out an IP address to every client that connects to it. The router can display the clients that have been served on its DHCP Client List. It typically lists an IP address and a MAC address.
As previously posted, the exact way to see this list depends on the router make and model.
First, you should change your router's WiFi password immediately. Then, as you figure out which of those MAC IDs mentioned by dstoffa are not one of your wireless devices, you can tell your router to always deny access to those devices. Once blacklisted those IDs are permanently locked out, even if they do provide the new valid password. That keeps nearby intruders from listening for and stealing your password to access your WiFi connection. And that's also why you might have to remove a few MAC addresses that belong to devices you do use occasionally but may have forgotten about.