We don't really know. We can define what it is as a field of influence, because we know how it operates in the universe. And some scientists think that it is made up of particles called gravitons which travel at the speed of light. However, if we are to be honest, we do not know what gravity "is" in any fundamental way - we only know how it behaves.
Here is what we do know...
Gravity is a force of attraction that exists between any two masses, any two bodies, any two particles. Gravity is not just the attraction between objects and the Earth. It is an attraction that exists between all objects, everywhere in the universe. Sir Isaac Newton (1642 -- 1727) discovered that a force is required to change the speed or direction of movement of an object. He also realized that the force called "gravity" must make an apple fall from a tree, or humans and animals live on the surface of our spinning planet without being flung off. Furthermore, he deduced that gravity forces exist between all objects.
Newton's "law" of gravity is a mathematical description of the way bodies are observed to attract one another, based on many scientific experiments and observations. The gravitational equation says that the force of gravity is proportional to the product of the two masses (m1 and m2), and inversely proportional to the square of the distance (r) between their centers of mass. Mathematically speaking,
F=Gm1m2 / r2,
where G is called the Gravitational Constant. It has a value of 6.6726 x 10-11 m3 kg-1 s-2.
The effect of gravity extends from each object out into space in all directions, and for an infinite distance. However, the strength of the gravitational force reduces quickly with distance. Humans are never aware of the Sun's gravity pulling them, because the pull is so small at the distance between the Earth and Sun. Yet, it is the Sun's gravity that keeps the Earth in its orbit! Neither are we aware of the pull of lunar gravity on our bodies, but the Moon's gravity is responsible for the ocean tides on Earth.