At a very high level, most NFTs are part of the Ethereum blockchain. Ethereum is a cryptocurrency, like bitcoin or dogecoin, but its blockchain also supports these NFTs, which store extra information that makes them work differently from, say, an ETH coin.

This episode is also available as a blog post: https://www.biovolttech.org/post/nft-explainer-what-is-blockchain-crypto-art-faq