It is not true that every spin manifold has a non-zero harmonic spinor.
The Lichnerowicz formula for the Dirac operator $D$ is $D^2 = \nabla^*\nabla + \frac{1}{4}s$ where $s$ is the scalar curvature. It follows that if $M$ is a compact spin manifold with positive scalar curvature, then $M$ does not admit a non-zero harmonic spinor. To see this, let $\sigma$ be a harmonic spinor. As $s > 0$ and $M$ is compact, we have $s \geq 4c > 0$ for some constant $c$. Therefore, using the $L^2$ norm, we have
$$0 = \langle D^2\sigma, \sigma\rangle = \langle\nabla^*\nabla\sigma, \sigma\rangle + \langle\frac{1}{4}s\sigma, \sigma\rangle \geq \langle\nabla\sigma, \nabla\sigma\rangle + \langle c\sigma, \sigma\rangle = \|\nabla\sigma\|^2 + c\|\sigma\|^2.$$
As $\|\nabla\sigma\| \geq 0$, $\|\sigma\| \geq 0$, and $c > 0$, we see that $\sigma = 0$. Taking a little more care, the same conclusion holds if $s \geq 0$ but $s \not\equiv 0$.
For more details, see Spin Geometry by Lawson and Michelsohn, chapter II, section 8.
In the case that $s \equiv 0$, every harmonic spinor is parallel. The existence of a non-zero parallel spinor on a closed spin manifold $M$ places a significant restriction on its geometry. For instance, if $M$ is simply connected, either $M$ or $M\times S^1$ admits a Ricci-flat Kähler metric, see Theorem 1.2 of Hitchin's Harmonic Spinors.