Reminder: Names can be whatever you want. Don't let anyone tell you your names aren't good enough.
1: Gender can make a difference
There are plenty of names that can be considered unisex and, in some cases, the character in question might not have a specific gender (agender, gender fluid, etc.). Keeping this in mind, naming your main female character "Robert" is extremely unconventional and, while it isn't necessarily wrong, some readers might find it odd. Likewise, there aren't many male Kaitlyns floating around.
Not to say that your male hero/villain/side character can't be named "Ashley", it's just unconventional.
2: Ethnicity and Heritage
This is mainly in play for nonfiction or realistic fiction books, but it can also come into play with fantasy as well. If you want to keep specific regional names, you might want to research a bit to get names as close as possible to the portrayed culture.
3: Tips and Tricks
To people that I've discussed names with, I almost always get the question "How do you come up with your names?" Let me tell you, it is a layered process. More often than not, I have the specific character already built in my mind. Name is the last thing I come up with. This means I have their purpose, ranking (in a fantasy setting), appearance, age, and everything plotted out.
Being completely honest, I open a lot of baby naming websites. Sometimes I specify a region and sometimes I know what I want the name to start with and I just go from there. If I find a name I really like, I might try to spice it up a little or keep it as is depending how "ordinary" it is.
Other times I open a name generator and hit refresh over and over.
I might take the name Katherine and turn it into Katera or the name Francis and turn it into Farius. (I really don't know, guys, I write fantasy. What can I say? Weird names come with the territory.)
The times I get really stuck I just hit random spots on the keyboard and it can actually work.
Names can be whatever you want them to be, but using baby naming websites/generators can be a huge help.