The process to delete orders, invoices, credit memos, and shipments
the exact same:

1. Go to Sales  → select what you would like to delete

2. Select the item(s) that you would like to delete

3. Check the action “Delete selected [items(s)]”

4. Click the “Submit” button and confirm your intention to delete

5. Item[s] will be deleted. Related credit memos, invoices and shipments will be deleted as well (can be configured)

6. You can also delete an item when viewing it individually