Here is a diagram of a process containing multiple threads of execution:

When a Python script or any other computer program is run, a process is created, containing the code and state, as well as the stack. These processes are executed by the CPU cores of a computer. However, each core can only execute a single thread at a time and will quickly switch between them to give the impression that multiple programs are running simultaneously. Similarly, within a process, the program execution can switch between multiple threads, with each thread executing different parts of the program.

This means that when one thread is waiting for a web page to download, the process can switch and execute another thread to avoid wasting CPU cycles. So, using all the compute resources on our computer to download data as fast as possible requires distributing our downloads across multiple threads and processes.