Switch to Online later in Bloodborne

Yes, you can switch between online and offline modes at will with no consequences. This can only be done from the main menu, so you must quit gameplay before before doing so. You won't need to worry about losing progress when switching modes or quitting as the game auto-saves very frequently, in fact, after almost every action. Even if your console is unexpectedly disconnected from the internet while playing online, the game will save before returning you to the main menu, where you can play offline without worry of losing anything. It should be noted that if you are fighting a boss and quit game (either via disconnect or manually), you will reappear outside the boss chamber and must start the fight anew.

I will outline the major features of online mode below, but please refer to this resource for a complete list:

• Co-Operative Play - Request assistance from other players or aid them in their game. When playing offline, you can still request help, but only from NPCs at certain locations in the game.
• Player vs Player (PvP) - Engage in combat with other players by either invading their world or having yours invaded. You can only be invaded if you hear the sinister chime of the Chime Maiden. They will appear in your if you summon another player into your world for Co-Op, but they also appear in a couple of late game zones, regardless of summoning anyone. You will see an onscreen message when a Chime Maiden is in your world.
• Memoirs - These are messages left by other players which you can used for guidance and can be rated as fair or foul. If a message is rated as fair, the player who wrote said message will recover all of their health if they are playing online.
• Illusions - These appear as white phantoms of players and are, in fact, other players playing the game in real time. You cannot interact with each other, but if you see an illusion, they also see you.
• Portraits - These appear as graves and interacting with them will show you the last few seconds of another player's life, up to and including their death. They can be very useful in warning of dangers to come.