Auth0 can handle the complicated server infrastructure required for authentication and authorization. Since Gatsby uses React, the same instructions for getting started with React apply to Gatsby. You can even isolate the functionality to a plugin.
Plugins exist for adding this kind of thing, but it helps to see how things work yourself as well, and it can be done surprisingly quickly.
Note: if you are following along with previous videos, I've added several components and styles between videos to speed up the flow of the content. Feel free to check out what's changed or check out the code on the branch for this lesson.