I have a repository on Github with 2 branches: master and develop.
When I clone the repository and run $ git branch it shows only
git clone fetches all remote branches, but only creates one local branch, master, for you. So when you run git branch -a, you'll see something like this:
$ git branch -a
* master
remotes/origin/HEAD
remotes/origin/develop
remotes/origin/master
which means that you have one local branch master and several remote branches. When you ran git checkout develop, git creates another local branch develop to track remote branch origin/develop. git tries to synchronize tracking branches, so you don't have to do another pull after check out.
If the local and remote branches terminologies sound confusing to you, you can browse through this document. It has some nice figures to help you understand them, and how local and remote branches move when you do further commits.
You may find this answer helpful: How to clone all remote branches in Git?, the first answer.