The endgame, as the name suggests, is the last stage of the game. Unfortunately, there’s no universal definition of the start of the endgame. The most used definition states that the endgame starts when there are few pieces left on the board. Sometimes, people define the endgame as “when the queens are off the board”, and while this definition is practical, it doesn’t always work (king and queen endgames can be very complicated).
The study of the endgame is crucial to the development of your understanding of the game. Some general concepts that apply to most endgames but most endings have very peculiar set of rules that do not apply in other endings. For that reason, the simplest and most effective approach to endgame study is to organize the endings around the material imbalance in a given position (for example, king vs pawn or king and pawn vs king and rook).
If you do not know where to start, pawn endings are probably the best entry point to endgame study.