First off, you must understand that Kali Linux is built for a specific purpose, so the answer I tell you, is correct on other less targeted distributions. The Kali Linux Website and their WikiPedia page clearly state:
Kali Linux is a Debian-derived Linux distribution designed for digital
forensics and penetration testing. It is maintained and funded by
Offensive Security Ltd. Mati Aharoni, Devon Kearns and Raphaël Hertzog
are the core developers.
If you have no idea what penetration or forensic data analysis is, the commenters are right that you should not use Kali Linux.
You need to download and install GNOME Tweak Tool, for versions less than GNOME 3.28, as stated in How to configure GNOME 3 to show icons on desktop.
Note: This solution, may or may not work because Kali Linux uses different repositories than Ubuntu or Debian, because of my earlier explanation. As proof that this is correct. On Gentoo, you can clearly see a Desktop Choice:
For Versions greater than or equal to 3.28, users are left with no alternative as the OP and I found out together. Read Nautilus desktop plans, or the more technical Gitlab Nautilus Bug 158 Report
For those of you reading this as Googlers: If your new to Linux, stay away from Kali unless you need it for these two purposes:
- Penetration Testing
- Digital or Computer Forensics