There is some controversy about this.
One view is that it is a misused phrase used to describe the planning that occurs prior to the first sprint, another is that it is that work that is needed prior to initiating development work, still others claim that this pre-work part of the project charter.
For a team new to agile, and a lot that aren’t, you need some space between the project charter, all the budget work and goals and vision nonsense to do some work before the start of development and all hands on deck. This is what most people refer to as iteration 0.