hello Gopinath,

A connected app is a framework that enables an external application to integrate with Salesforce using APIs and standard protocols, such as SAML, OAuth, and OpenID Connect. Connected apps use these protocols to authenticate, authorize, and provide single sign-on (SSO) for external apps. The external apps that are integrated with Salesforce can run on the customer success platform, other platforms, devices, or SaaS subscriptions. For example, when you log in to your Salesforce mobile app and see your data from your Salesforce org, you’re using a connected app.
Before creating a connected app and managing its access policies, it’s important to understand how your org is going to use the connected app. There are four main use cases for which your org can use connected apps. You can use a connected app to integrate external applications with the Salesforce API, such as a web-based app that pulls in order status data from your Salesforce org. You can also use connected apps to enable single sign-on (SSO), or to set security policies to control what data a third-party app can access from your org. Finally, you can configure a connected app to provide authorization for external API gateways, such as API gateways hosted on MuleSoft’s Anypoint Platform.

You can also go through the following link for more info
https://trailhead.salesforce.com/en/content/learn/modules/connected-app-basics/learn-about-connected-apps

Please let me know if it answers your query. 
Thanks