A skybox is a cube with a different texture on each face. When you use a skybox to render a sky, Unity essentially places your Scene inside the skybox cube. Unity renders the skybox first, so the sky always renders at the back.
Similar to other sky implementations, you can use a skybox to do the following:
The Built-in Render Pipeline, and the Universal Render Pipeline (URP) both exclusively use skyboxes to render a sky. These skyboxes are Materials that use a [skybox Shader)[skybox-shaders].
The High Definition Render Pipeline (HDRP) does not support skybox Materials and instead includes multiple sky generation solutions.