Lots of simple shell functionality is provided as builtins. See the bash manual for a list of builtins inherited from the Bourne Shell[1] and that are bash-specific[2].
Note that some of these are part of the POSIX standard, so there's not a huge amount of variance allowed between shells which are being compliant. Obviously, PowerShell doesn't adhere to this.
Powershell doesn't really have "builtins" per-se, every cmdlet is executed in the process of the shell itself but they're all contained within loadable modules (though 2-3 modules are loaded with the shell startup by default), Invoke-WebRequest is contained within Microsoft.PowerShell.Utility for example.
