“Outsiders” is a general term used to describe any creature that comes from another Plane; that is, any Plane other than this Material Plane. Many Outsiders are sentient, and they hail from many different parts of our broader Planescape.
All of the world in which we have grown and become accustomed exists in the Material Plane. We could traverse the entire world, circle it and arrive back at the point where we began, and come across no evidence that anything external to this Material Plane exists.
Outside of the bounds of this Material Plane, however, a whole host of alternative existences coincide with its theoretical underpinnings on some very fundamental levels, creating parallel Planes that can be accessed at points where extraplanar energy penetrates the fabric of the Interplanar Boundary. These points are called Portals, and allow courageous (or stupid) travelers to visit other Planes. It is extremely dangerous to attempt to do so, as there are no guarantees as to where a Portal leads or how the laws of physics may function in any destination Plane.
Because of the hypothesized location of Planes in relation to each other, most Portals that can be found in the Material Plane will lead either to the Plane of Shadow or the Ethereal Plane. These two planes are coexistant with the Material Plane and occupy the same theoretical space. Other Portals will lead to various Inner Elemental Planes, and still others will connect this plane to The Outlands or assorted Outer Planes, although this is far more rare.
To attempt to conceptualize the spatial relationship between the Planes, imagine you own a puppy. Now imagine that, occupying the same exact physical space as the puppy, you have a kitten. Both the puppy and the kitten are fully conscious and 100% convinced of their own existence, and each is peripherally aware of the existence of the other. Whichever organism dominates the waveform at any given point in time appears to be the only one that truly exists, in the eyes of the external world – this “dominant” status shifts on a heretofore unpredictable basis. The puppy and the kitten’s strange relationship is analogous to the relationship between the Material Plane, the Plane of Shadow, and the Ethereal Plane (signified by the soul-space where the puppy and the kitten’s inner essences converse and coalesce). Now imagine that those two domesticated aberrations are surrounded by a ring of lobsters, representing the Inner Elemental Planes, and that that ring of lobsters is itself surrounded by a perimeter of rabid weasels – symbolizing, of course, the uncivilized Outer Planes. Then, picture that all of these concentric rings are rotating within one another, and that the intersections and bonds between these critters are constantly being broken and formed anew, creating rifts of latent energy that we know as Portals. Finally, imagine a beautiful unicorn that floats in and around all of these other unfortunate animals, pervading their essence fully and collecting abandoned or spent souls in a realm of pure energy – this is the Astral Plane, which has no real location in relation to the other Planes, but can be accessed and traversed with the proper magics.