Of course there is!
But this isn't strictly connected to SFML, since you can have an array (or better a std::vector) of any type in C++. Since you apparently don't know how to work with them, I strongly advise you to get a
good C++ book and read it!
SFML is a nice and Simple library, with a clean API and thus it can mislead beginners into thinking that it's a good starting point to learn C++, but in fact SFML does require a good amount of rock solid C++ knowledge, otherwise you'll get stuck at every other corner.
Also if you wanted to start with a game, you should know that programming games can be one of the harder tasks in programming, since it pulls in all kinds of areas (graphics, algorithms, datastructures, audio, code design, networking, etc. etc.). You should really start of slow and learn the basics of C++ in good fashion before moving on.
sf::Shape shapes[20];
// or better use a std::vector
std::vector<sf::Shape> shapes(20);
