You can follow these steps to create Product Filter Dropdown in Squarespace.
We will create Filter Dropdown for Categories, Tags and Sort.
#1. Install this Filter Plugin
#2. Open Filter Documentation Page, you will see a line like this in Step 2.
#3. Hover on Shop/Store Page > Click the Gear icon
#4. Click Advanced > Page Header Code Injection
#5. Paste code you have in #2 .
#6. You will see Get Filter Config button > Click on It
#7. Click Copy Code
#8. Replace #5 code with #7 code
#9. Result
Here I haven’t assigned categories for products so it won’t appear.
If you want to disable Search bar, you can change true to false
If you want to disable Sort dropdown, you can change true to false