Starch molecules make up the majority of most baked goods. Thus, starch is an important part of the structure. Although starches by themselves generally can’t support the shape of the baked item, they give bulk to the structure.
Starches make a softer structure when baked than proteins do. The softness of the crumb of baked bread is due largely to the starch. The more protein structure there is, the chewier the bread is.
Starch molecules are packed into tiny, hard granules. These granules attract and bond to water during mixing. As they are heated during baking, the water is absorbed into the granules, which swell greatly in size. Some of the starch granules break open and release starch molecules. During this process, starch molecules bond with any available water. This is why the interior of baked doughs are fairly dry, while unbaked doughs are moist. Most (but not all) of the water is still present but has bonded with starch.