A cover letter should always accompany your CV and allows you to personalise a job application, highlighting your strengths and relevant experiences to that particular job.
A cover letter introduces you as a person to your employer, and should emphasise your interest in the position whilst closely mirroring the employer’s interests and emphasising relevant information in your CV. A cover letter should be no more than one page.
Personal statements can be used as an alternative to a cover letter and are more reflective of your personal career story and motivations.
Read more about the difference between the two here.