A theme is a ready-made design that decides how your whole website looks — its colours, fonts, spacing and general layout. Switching a theme changes the appearance of the site without touching the text and pictures inside it.
Picture the same room with different wallpaper, furniture and lighting: the room and everything in it stay the same, but the feel changes completely. A theme does that for a website — you can try a different look, and your articles, photos and pages stay exactly where they were.
Themes are a big part of why WordPress sites are quick to style: you pick a ready-made look and adjust it, instead of designing every page by hand.