It’s basically a blueprint that’s persistent through the entire game. You can visualize it as being a step above Level blueprints, allowing you to create logic that handles levels and actors distributed across different levels, among other stuff.
This video explains it very well:
Highly recommend you watch this video too… several times:
It covers a lot of info very fast, but it’s priceless. Game Instance is mentioned 7:30. I suggest watch from the beginning so it makes sense.