See here (and the various sublinks) for any background about the exterior covariant derivative and how to do computations with it.
Fix a local coordinate chart $(U,x=(x^1,\dots, x^n))$ on $M$, and expand $F=\frac{1}{2!}F_{ab}\,dx^a\wedge dx^b$ (I have the extra $\frac{1}{2!}$ because I didn’t restrict to $a<b$), with each $F_{ab}=F\left(\frac{\partial}{\partial x^a}\wedge \frac{\partial}{\partial x^b}\right)$ being a local section of $\text{End}(E)$. Then, Bianchi’s identity in local coordinates becomes
\begin{align}
0&=d_{\nabla}F\\
&=\frac{1}{2!}d_{\nabla}(F_{ab})\wedge dx^a\wedge dx^b\\
&=\frac{1}{2!}\nabla_{c}(F_{ab})\,dx^c\wedge dx^a\wedge dx^b\tag{!}\\
&=\sum_{a,b,c}\left[\nabla_a(F_{bc})+\nabla_b(F_{ca})+\nabla_{c}(F_{ab})\right]\,dx^a\otimes dx^b\otimes dx^c,
\end{align}
where the last step is some simple enough algebra with permuting stuff. Since the collection of all $dx^a\otimes dx^b\otimes dx^c$ forms a basis for $(0,3)$ tensor fields it follows the coefficient vanishes identically (granted, here we’re talking about bundle-valued objects, but still, the argument goes through). Note that I could not simply conclude from $(!)$ that $\nabla_{c}(F_{ab})=0$ because the sum in that step is over all $c,a,b$, note just those for which $c<a<b$ (which is important in order for the collection of $dx^c\wedge dx^a\wedge dx^b$ to form a basis). So, the upshot of all this is that for all $a,b,c\in\{1,\dots, n\}$,
\begin{align}
\nabla_a(F_{bc})+\nabla_b(F_{ca})+\nabla_{c}(F_{ab})&=0.\tag{$*$}
\end{align}
Note that algebraically speaking, this is essentially the same conclusion you’d arrive at if you had a usual scalar-valued 2-form $F$ and you wrote out $dF=0$ explicitly in coordinates: $\frac{\partial F_{bc}}{\partial x^a}+\frac{\partial F_{ca}}{\partial x^b}+\frac{\partial F_{ab}}{\partial x^c}=0$. In this sense, the bundle-valued expression for Bianchi’s identity is not any more complicated.
Next, fix a torsion-free connection $\nabla$ on $TM$, and denote all induced connections by the same symbol $\nabla$. Then, essentially by definition, for all (local) vector fields $X,Y$ on $M$ we have (as an equality of (local) sections of $\text{End}(E)$)
\begin{align}
\nabla_X\left(F(Y,Z)\right)&=(\nabla_XF)(Y,Z)+F(\nabla_XY,Z)+F(Y,\nabla_XZ),\tag{$**$}
\end{align}
where the $\nabla_X$’s act respectively on (local) sections of $\text{End}(E),\text{Hom}(\bigwedge^2(TM);\text{End}(E)),TM,TM$. Now, keeping in mind that the connection on $TM$ being torsion-free (and the fact that coordinate vector fields have vanishing Lie bracket) implies that $\nabla_{\partial_a}(\partial_b)=\nabla_{\partial_b}(\partial_a)$, and so applying $(**)$ with coordinate vector fields and plugging it into $(*)$ gives (after a total of 6 terms cancelling out)
\begin{align}
(\nabla_{\partial_a}F)(\partial_b,\partial_c)+
(\nabla_{\partial_b}F)(\partial_c,\partial_a)+
(\nabla_{\partial_c}F)(\partial_a,\partial_b)
&=0.
\end{align}
Now, by $C^{\infty}(M)$-linearity, we get that for all vector fields (or simply tangent vectors) $X,Y,Z$,
\begin{align}
(\nabla_XF)(Y,Z)+
(\nabla_YF)(Z,X)+
(\nabla_ZF)(X,Y)
&=
0.\tag{$***$}
\end{align}
This shows that $d_{\nabla}F=0$ implies $(***)$ for a torsion-free connection on $TM$. Undoing these steps shows the converse, hence these are equivalent expressions of Bianchi’s identity.
Now of course you can specialize to $E=TM$ and fix a single torsion-free connection and the entire argument above goes through. And finally if you have a semi-Riemannian manifold $(M,g)$ and you equip it with the Levi-Civita connection, then you have $(***)$ as one version of Bianchi’s identity. People often consider not just the curvature as an endomorphism-valued 2-form (or equivalently, the corresponding $(1,3)$ tensor field), but the corresponding $(0,4)$ tensor field $R$ defined by metric duality. Then, $\nabla R$ will be a $(0,5)$ tensor-field, and one has the version of Bianchi identity (e.g Lee’s Introduction to Riemannian Geometry, Proposition 7.13)
\begin{align}
(\nabla R)(V,W,X,Y,Z)+
(\nabla R)(V,W,Y,Z,X)+
(\nabla R)(V,W,Z,X,Y)
&=0.
\end{align}
This follows essentially trivially from above because the metric isomorphisms commute with the covariant derivative (by metric-compatibility); also notice that the vector fields $V,W$ remain untouched (these correspond to the endomorphism nature of the curvature originally).