The absolute best app for learning a new language is from pimsleur.com but their privacy policy is trash.
Second best is italki and their privacy policy is trash.
YouTube can also be helpful but you need to use alternative ways to access it if you want privacy.
If you really want to learn and preserve privacy, you’ll probably need to interact with native speakers daily in person.
Pirate children’s tv shows in that language and watch them
This is a great suggestion, thanks!
There’s Anki which is one of the most popular flashcard apps. Kiwix is pretty great for having tons of offline content from websites like Wikipedia, StackExchange, and Khan Academy, but I’ve run into a few bugs with it. I believe the current version isn’t on F-Droid but they plan to remove the non-free build tools in the next version. There’s the translation dictionary QuickDic. There’s some language specific apps like Der Die Das and Starke Verben for learning German, Kakugo, Fun with Kanji, and Kanji Dojo for Japanese. There’s several language specific dictionaries like Nani?, Nheengaré and a PReVo. For learning numbers/time there’s the Nanji clock widget that can show the printed time in several languages.