When they released WordPress 4.4, they merged the oEmbed feature into core. You have probably seen or used this before. This allows users to embed YouTube videos, tweets and many other resources on their sites simply by pasting a URL, which WordPress automatically converts into an embed and provides a live preview in the visual editor. For example, we pasted this URL from Twitter: https://twitter.com/kinsta/status/760489262127120385 and it was converted into what you see below. You can see the official list of supported embed types.
WordPress has been an oEmbed consumer for a long time, but with the update, WordPress itself became an oEmbed provider. This feature is useful for a lot of people, and you may want to keep it enabled. However, what this means is that it also generates an additional HTTP request on your WordPress site now to load the wp-embed.min.js file. And this loads on every single page. While this file is only 1.7 KB, things like these add up over time. The request itself is sometimes a bigger deal than the content download size.