CDNs are content delivery networks. They’re primarily used to serve commonly used files in an effort to speed up the web experience. That’s the nutshell.
What is really going on?
If you and 4000 other sites are all using Google Fonts, and everyone would like their sites to load faster, you can take advantage of file caching. In other words, someone can visit a site, download the files for that site, which includes a CDN reference to Google Fonts. From that point on, any site that is using the CDN for Google Fonts has one less thing to load. That makes those sites load faster.
What is the advantage?
Aside from a site loading faster, you would no longer need to worry about maintaining that file. The source code would be stored on the CDN’s server and just referenced by you. Since it is stored on the CDN server, that is also storage on your website that you free up for other things. With the file not coming from your website, that is one less thing to count against your bandwidth usage. CDNs are often configured to be redundant so if one fails, the other picks right up.
How do I find if a CDN for the file I’m using?
Many times you can simple search for ‘CDN’ and the file you’re considering. There are also search engine available such as https://www.cdnplanet.com/tools/cdnfinder/
Conclusion
This is a very high level explanation of CDNs. Architecture, Security, Latency, and many more details are available for those who desire that level of knowledge.