When inside a workspace, click View > Databases, then click the + icon and follow the on-screen instructions. For more information on how to configure Amazon Athena and how to generate access keys, click here. Make sure the IAM user associated with the credentials has write access to the specified output bucket/folder. The output folder is used to write results of your query to and is ideally separated from the main data in the bucket.
Note: the output bucket should be an s3 url, meaning it should start with s3://