You step into the border regions of the Ethereal Plane, in the area where it overlaps with your current plane (PHB, page 238)
This never specifies whether worn items become ethereal along with yourself, but it also includes that
You ignore all objects and effects that aren't on the Ethereal Plane, allowing you to move through objects you perceive on the plane you originated from. (PHB, page 238)
So, would any worn or carried items such as weapons or clothes become ethereal with you, or would they stay behind?