It depends if the books have DRM (Digital Rights Management) or not.
If they do then you can only read them on Amazon devices or with a Kindle app on PCs Macs Android or ios.
If not DRM then download them to a computer using the transfer by USB option on the "manage your contents and devices" page on Amazon on the Web.
Then you need to convert your ...
Games (and Apps) for Amazon Kindle Paperwhite are known as an Active Content and you can search Amazon Store for them here. Some of these games are for money, some are free.
However as stated here they are fully supported on Paperwhite 1 & 2 and partly version 3, version 4 is not discussed at all. You have to test each and one you wish to try. Please ...
This is a good, common question that seems to have an answer here: Trouble hooking up Goodreads with sideloaded ebook on Kindle Paperwhite
I have found the best way to get it 100 percent working is this:
If your book is not already in AZW3 format then convert it. (Has to be AZW3 and not just AZW.)
Secondly, highlight the book and edit metadata.