Rendering 3D scenes, especially open world ones with vast viewing distances, requires many objects to be drawn. However, the processing power of current graphics hardware is still too limited to render as many objects as we see around us every day. So, to lower the number of drawn objects and to draw the background for our scene, we usually prepare an image (or a photo) of distant objects and draw just the image instead.
In games where players can freely move and look around, we can't draw a single image. We must draw images in all directions. Such images form a cube, and an object on which background images are placed is called a skybox. We render it in such a way that it is always in the background, at the furthest depth value available.