The amount of information you can find about a company will depend on its ownership status. This video explains the difference between publicly traded and privately held companies.
Public companies -- like Coca-Cola or Microsoft -- issue shares of stock that represent an ownership interest and are traded openly on one or more stock exchange like NYSE. These companies must disclose financial information to the government annually, making it easy to find information about them.
A private company is not traded on any stock exchange. They don't have to file documents with the U.S. Securities and Exchange Commission. Finding information on private companies can be quite challenging, and often we must resort to using Industry Financial Benchmarks to approximate.