Every Agent has access to "The Armoury", a place to store their meagre belongings whilst not needed for a mission. The exact nature of the armoury is different for each faction; it could be as simple as a disused storage locker, or perhaps a vast shared arsenal belonging to your regiment or Space Marine Chapter.
The space available in an Agent's personal armoury is uniform across all Factions - each Agent can store a number of items of Wargear equal to Tier x 5. Consumables (excluding Special Ammo) and items with no mechanical function (such as Trinkets or story-specific trophies) do not take up equipment slots in storage.
In addition, an Agent can store a number of Medium vehicles equal to their Tier - 1 (minimum of 1); vehicles of size Large can also be stored, but each uses the space of 2 Medium vehicles.