I find character building to be the most enjoyable aspect of writing. For me, I have a rough idea of who the chara is, or who I want them to be, and then what they are going to do in my story. What is their role? Treat your characters as people, and if you imagine them like your child, you can learn about them by asking them questions! As I developed the outline of my story and decided what I want my children to do in the book, I then ask my character, "Why would you do that?" I just recently wrote a flashback scene for one of my MCs, and I was literally shocked, reading it over, then looking at the scenes that happened later. His actions just made more sense. With depth. I enjoyed reading my earlier content more, now that I knew why he was like this, rather than this aqueous: "he's insecure about his manhood", he has a trauma in his past that made him insecure. It doesn't even have to be a big event to change a character's worldview. People are weird like that. The smallest thing can affect the rest of their lives. So experience certainly plays a role in how a character developed.
And, the best part is, THE MOMENT your character starts moving around in your story, despite the memory loss, they will be adding on new experiences continuously that will shape how they think and act! So you have a great opportunity to show the evolution of a character's depth, from, as I take you want it, a blank slate. I don't necessarily agree that your character has to be colorful right off the bat, but the seeds should be planted, and it should bloom into a chromatic garden of personality!
How they react to things suggests a certain aspect of a character's nature, too. Sure. Are they a sponge? Just accepting everything, since nothing makes sense? Or are they skittish, and afraid of everything on instinct? Just overwhelmingly confused? Why IS something weird, while another isn't? What is the extent of the memory loss, that you can describe something by comparing it to something else? Where is the gauge for normalcy, and how did it get into the character's mind? When do the scales of a character's judgment begin to adjust? These are questions you should ask yourself.
As others above have suggested, a character's intrinsic wants, needs, inclinations, tastes, etc. all play a role and don't have to rely on experience. And they can be completely superfluous! These can be cute. They can be cool. They can be stupid. And they can be as unique and divergent as you like. While characters don't have to be "special snowflakes" in the way they think, they can still exhibit an array of interests and skills that together form a portrait. You don't have to be the bravest person in the world, or the most caring, or the most f***ed up, in order to be an interesting character to read. Honestly, the above examples can be quite bland in my eyes. One dimensional. They don't have to have a "thing". Archetypes are overrated. Regardless, hopefully, the image you create is of someone readers will love to love, or love to hate, etc. In general, though, my characters tend to be on the gray-scale. Nuanced. Human. They have reasons for doing things. And those reasons do NOT have to be big and dramatic. That makes them more real and interesting to me. So take what I say at its proper value.
Additionally, just because a character loses his memory, and idk how you handle that magically or technologically or whatever, doesn't mean that neural pathways aren't already formed in their mind. Human minds have trends in which they exhibit behaviors, regardless of their memories. This is why people with short term memory loss can have the same conversation over and over again. Fascinating videos. Look them up. And on a more profound level, if you are dealing with a soul, as long as the soul isn't wiped clean to a state of immortal purity, or scattered and reconstituted, it will also have some of the colors you seek to impart on your character. So don't be afraid to make your character a real, living, breathing, thinking, feeling person!
Hope this helps, and good luck.