Theme links directly to your protagonist’s character arc.
The starting and ending points of the character arc may be a different mindset, set of values, or situation. The character may grow, fall, or transform from one state to the other.
Whatever the case, built into this journey is the assumption that one state is better than the other. Ask yourself which state is better and you have a theme that you can explore and that the reader can discover along with the protagonist.
For instance, I am working on a book where I explore “protection” but that word is probably too vague. To pin down my theme, I then 1) look at where my protagonist is at the start of the book, 2) look at where she is at the end of the book, 3) decide which state is better, and 4) write my theme as “the value of ___ over ___”.
To develop my theme further, I explore different both sides of my theme through antagonists, close allies, and minor characters.
Contrast protagonist with antagonists. Many of the best antagonists have common ground with the protagonist. This shared ground may be negative traits, positive traits, shared beliefs, or shared behaviors. The last two are especially potent for showing theme. Shared beliefs that lead to different actions highlight the different paths that the belief can lead the reader down. Different beliefs that lead to the same action can emphasize the importance of motive when acting.
Contrast protagonist with a close ally. Maybe the ally begins with a clearer notion of the message from the onset. Maybe the ally starts from a different starting point but arrives at the same ending point. Or maybe the ally walks in the gray area of the issue and arrives at some questionable decisions.
Contrast protagonist with minor characters. Especially useful roles are the mentors, threshold guardians, and law-givers. These characters rarely change. They may do little more than walk on and back off the page but they have the potential to offer contrast to the protagonist and point her a little more in thee right (or wrong) direction.