In short class it is about classification and object is an real (or virtual-real) thing.
Class is a description of object capabilities. Also there is an instance word existing. It means some created object that based on some class. For example in game you actually have three players:
- Man who play your game - an object in the real world
- Player class - Ingame description of what player can do and what stats player have (health, mana, etc…).
- Player ingame instance - the character walking inside the virtual world in your game. You can have a lot of instances of player at the same time. It can be multiplayer players or saved player states on a checkpoint.
Classes that you define in c++ can be exported to the engine (it makes them visible in the editor) and then you can create objects(instances) inside game world based on that classes. Also you can create blueprints based on that exported classes