I think classical statistical mechanics as a model to explain the phenomenological macroscopic thermodynamical laws in fact revealed more about micro than macro physics, but it also helped to explain the thermodynamical laws (including the 0th-3rd fundamental laws) from more fundamental laws of classical dynamics by statistical means.
For me the very immediate discovery is the necessity to assume the indistinguishability of particles, because otherwise entropy turns out to be not an extensive quantity as it should be (Gibbs's paradox).
Also statistical physics and thermodynamics helped to discover that the classical models are all inadequate to understand matter on a fundamental level and that quantum theory is needed. Of course, that's true from the very birthday of quantum theory, which is December 14, 1900 when Planck introduced the quantization of the exchange energy of electromagnetic waves with matter to explain the black-body spectrum, which he discovered before by analyzing the high-precision measurements by Rubens and Kurlbaum at the Phyikalisch-Technische Reichsanstalt. This was famously further worked out by Einstein, leading to the idea of "wave-particle duality" for em. waves and later also of "particles" like the electron, which finally lead to the development of modern quantum theory, and only with quantum theory all the fundamental laws of thermodynamics, particularly the third Law (Nernst's Law) can be explained.