Marth is the prince of Aritia and the protagonist of the original Fire Emblem game, with the class designation of Lord. He's probably best known to Western audiences through the Fire Emblem OVA, which adapted the first game's story—though the anime called him "Mars" instead of the "Marth" that Nintendo of America eventually settled on as the official English name.
His distinctive blue hair is actually a practical detail from game design: allied units were color-coded blue, so they picked that shade for his hair to match the visual convention.
In Fire Emblem Engage, Marth appears as one of twelve Emblems—legendary warrior spirits that can be invoked by the protagonist Alear. Specifically, Marth's Ring of the Hero-King was placed on Alear's hand while they slept for a thousand years. When Alear finally awakens and faces malevolent forces on the road to Lythos Castle, they call on Marth's power to protect their companions Clanne and Framme, summoning him to fight alongside them against the Corrupted.
Content compiled by AnimeList.moe from publicly available sources.