The Upanishads have a method for this question. Anvaya-Vyatireka — presence and absence. If X is always present when Y is present, and X is always absent when Y is absent, then X is the nature of Y.
Applied: the body is present in waking, modified in dream, absent in deep sleep. The thoughts are present in waking, modified in dream, absent in deep sleep. The relationships, the status, the possessions — all absent in deep sleep.
But you are present in deep sleep. You wake with the report: I slept well. Something was there. Something that was not the body, not the thoughts, not the relationships. Something that registered the quality of the sleep without any of the usual instruments.
Shankara's Vivekachudamani offers the most systematic development: I am not the body, for the body is born and dies. I am not the mind, for the mind is the instrument of the body. I am not the intellect, for the intellect merely processes. I am not the ego, for the ego is a construction. I am the witness — Sakshi — the pure awareness that witnesses body, mind, intellect, and ego without being any of them. This is not a philosophical conclusion to be accepted on authority. It is an investigation to be conducted in the ordinary life that is already occurring.
What practitioners consistently report at the end of this inquiry is not the frightening nothingness the ego fears when it contemplates its own removal. What is found is its opposite — a fullness, a spaciousness, a quality of being more present and more alive than the defended self that was protecting itself from this recognition.
Not possessions. Not status. Not relationships. Not thoughts. Not body.
Something that was never acquired and therefore cannot be lost. What you have been all along, beneath every layer of becoming.