There’s a lot of philosophy that concerns itself with what we can Know. Not just know, but somehow Know. And a significant proportion of it concludes that we can’t actually Know about external objects - we perceive things only indirectly, the objects-in-themselves are something else entirely to our perceptions and conceptions of them. We have only sense-data that we try to assemble into a model of the world, but the noumena, the Objects-in-themselves, are forever unknown, only indirectly experienced.
But what would direct experience look like? What are we missing, that someone who could Know the things-in-themselves would have? What we have is what knowledge is. When people talk of indirect experience, there is the tendency to think of seeing shadows against the curtain implying something outside - but this is a very specific example. Visual appearance is mediated by light, and light needn’t take a direct path from source to the eye… but what is it to indirectly smell something, for example? To indirectly feel cold?
Dreams are often pointed to as evidence that we live our lives inside our heads… but dreams are distinguishable from reality, as a total experience. We talk of things having a dream-like quality, or pinching ourselves to see if we’re dreaming. Dreams are absorbing only for as long as you don’t ask yourself whether you’re having a dream, and you usually do so after things get disorientating for a while. If you don’t, you wake up in a sweat (or laughing, or turned on, or troubled, etc) and say “I’ve just had the most vivid dream”…
A lot of trouble comes from the word “real”. When we ask ourselves (non-philosophically) if something is real, it’s in opposition to something else - illusion, fairy tale, optical trickery, artifice. There’s a real and an unreal, and we are wondering whether it is the former. Philosophers, asking “what is real”, can be tempted to forget the former option and conclude that “real” is impossible to know, so everything may/could/must be not-real… while that’s not what the question is. It’s a complex word, though, and highly context-sensitive,so to avoid a five-page digression in the OP I’ll leave it there.
In short - we have direct experience of the world. Not because of higher metaphysical reason, or some divine/Platonic apperception of Things-As-They-Are, but because what we have is what direct experience is. It doesn’t get more direct than life, in the world.