Theme My Login is a WordPress plugin. wpbeginner.com has an article here on how to create a font-end login page and customize it.
This (on the left) is what you sill see when you attempt to log in to your admin area of your web site, instead of what WordPress would normally show you. This appears on a page within your site, with the header and footer visible. It is much more comfortable than what WordPress shows without this plugin (see below).
There is more to this plugin that simply moving the login form to a page inside your site. You can set it up to redirect you logged in users to specific pages, for example. Theme My Login comes with different modules packed right into the plugin. You can enable them based on your own requirements. Simply check the module you want to enable.