A depot is Perforce's name for server-side storage of files and their history. It is roughly what Git calls a repository and what USourceControl calls a project, though the mechanics underneath differ considerably.
The concept that trips people up when they arrive from Git is that a Perforce depot lives on a server you run, and your local copy is a workspace mapped to part of it through a client spec. That mapping is explicit and configurable: you decide which depot paths appear in your workspace and where. It is powerful, and it is also the thing most likely to be misconfigured on a new hire's first day.
Depots come in several types. A local depot is the ordinary case. Stream depots add Perforce's branching model on top. Spec and archive depots hold metadata and obsoleted files respectively. Most game teams interact only with the first two.
For Unreal teams, depots are why Perforce remains the AAA default and also why it is a heavy lift for small studios: the model handles enormous binary projects gracefully, but it presumes you have someone to size, configure, back up, and maintain the server hosting it.