Some calendars have overlapping content. For example, some Holidays are also Flag Days or UN Observances. If you have these calendars subscribed separately, the same event may appear in each calendar, the end result being the same event occurring multiple times on the same day.
Calendar groups resolve this issue. A calendar groups is a calendar subscription which consists of multiple calendars instead of a single one. To see how calendar groups work, please take a look at What are calendar groups?.