Progress Indicator Component:

<!--ProgressIndicator.cmp-->
<aura:component >
    <aura:attribute name="selectedStep" type="string" default="step1"/>
    <div class="slds-m-around_xx-large">
        
        <lightning:progressIndicator currentStep="{!v.selectedStep}" type="base">
            <lightning:progressStep label="Step One" value="step1" onclick="{!c.selectStep1}"/>
            <lightning:progressStep label="Step Two" value="step2" onclick="{!c.selectStep2}"/>
            <lightning:progressStep label="Step Three" value="step3" onclick="{!c.selectStep3}"/>
            <lightning:progressStep label="Step Four" value="step4" onclick="{!c.selectStep4}"/>
        </lightning:progressIndicator>
        
        <div class="slds-p-around--medium">
            <div class="{!v.selectedStep == 'step1' ? 'slds-show' : 'slds-hide'}">
                <p><b>Step 1</b></p>
            </div>
            <div class="{!v.selectedStep == 'step2' ? 'slds-show' : 'slds-hide'}">
                <p><b>Step 2</b></p>
            </div>
            <div class="{!v.selectedStep == 'step3' ? 'slds-show' : 'slds-hide'}">
                <p><b>Step 3</b></p>
            </div>
            <div class="{!v.selectedStep == 'step4' ? 'slds-show' : 'slds-hide'}">
                <p><b>Step 4</b></p>
            </div>
        </div>
        
        <div>
            <button disabled="{!v.selectedStep != 'step1' ? '' : 'disabled'}" class="slds-button slds-button--neutral" onclick="{!c.handlePrev}">Back</button>  
            <aura:if isTrue="{!v.selectedStep != 'step4'}">
                <button class="slds-button slds-button--brand" onclick="{!c.handleNext}">Next</button>
            </aura:if>
            <aura:if isTrue="{!v.selectedStep == 'step4'}">   
                <button class="slds-button slds-button--brand" onclick="{!c.handleFinish}">Finish</button>  
            </aura:if>
        </div>
    </div>
</aura:component>

Progress Indicator Component JS Controller:

({
    handleNext : function(component,event,helper){
        var getselectedStep = component.get("v.selectedStep");
        if(getselectedStep == "step1"){
            component.set("v.selectedStep", "step2");
        }
        else if(getselectedStep == "step2"){
            component.set("v.selectedStep", "step3");
        }
         else if(getselectedStep == "step3"){
            component.set("v.selectedStep", "step4");
        }
    },
    
    handlePrev : function(component,event,helper){
        var getselectedStep = component.get("v.selectedStep");
        if(getselectedStep == "step2"){
            component.set("v.selectedStep", "step1");
        }
        else if(getselectedStep == "step3"){
            component.set("v.selectedStep", "step2");
        }
        else if(getselectedStep == "step4"){
            component.set("v.selectedStep", "step3");
        }
    },
    
    handleFinish : function(component,event,helper){
        alert('Finished...');
        component.set("v.selectedStep", "step1");
    },
    
    selectStep1 : function(component,event,helper){
        component.set("v.selectedStep", "step1");
    },
    selectStep2 : function(component,event,helper){
        component.set("v.selectedStep", "step2");
    },
    selectStep3 : function(component,event,helper){
        component.set("v.selectedStep", "step3");
    },
    selectStep4 : function(component,event,helper){
        component.set("v.selectedStep", "step4");
    },
})

Lightning Test App:

<!--Test.app-->
<aura:application extends="force:slds">
    <c:ProgressIndicator />
</aura:application>

Output:

Note: To create “base” style progress indicator you have need to add type="base" attribute in your lightning:progressIndicator tag in lightning component.