Essentially, jQuery files tell your browser to execute certain commands in order to display and navigate a website. Because these scripts are being executed by your computer and not the website’s server computer, this allows the website to load and display much faster.
In WordPress, jQuery is often used for fancy moving elements on your website such as sliders, rotating testimonials, and lightbox popups. Another thing that jQuery can do is execute AJAX scripts and perform actions such as telling the website what to do when a user clicks on something.
WordPress comes built-in with a number of jQuery libraries. Developers can also add other jQuery scripts into plugins or themes.
The way that jQuery scripts must be written and used inside of WordPress is quite complicated. Click here for much more documentation on how to write and use jQuery.