The Drupal File API allows us to handle files in two different ways. Files essentially boil down to two categories: they are either managed or unmanaged. The difference between the two lies in the way the files are used.
Managed files work hand in hand with the Entity system and are, in fact, tied to File entities. So whenever we create a managed file, an entity gets created for it as well, which we can use in all sorts of ways. And the table where these records are stored is called file_managed. Moreover, a key aspect of managed files is the fact that their usage is tracked. This means that if we reference them on an entity or even manually indicate that we use them, this usage is tracked in a secondary table called file_usage. This way, we can see where each file is used and how many times, and Drupal even provides a way to delete "orphaned" files after a specific time in case they are no longer needed.
A notable example of using managed files is the simple Image field type that we can add to an entity type. Using these fields, we can upload a file and attach it to the respective entity. This attachment is nothing more than a special (tracked) entity reference between the two entities.
By understanding how managed files are used, it's not difficult to anticipate what unmanaged files are. The latter are the files we upload to make use of for various reasons but that, of course, do not need to be attached to any entity or have their usage tracked.