In its quantum mechanics sense, this relates to the “double slit” experiment. When an electron goes through a double slit it behaves as both a wave and a particle. As a wave, it’s easy to see how it can go through two slits at once and interfere to make a diffraction pattern. But then when it hits the screen on the other side of the slit ,then it behaves as a particle. So how can a particle go through both slits at once? It is easy to see how there is a probability of it going either way but how can those two probabilities interact?

Well one idea is that every time something could go two ways in a quantum mechanical sense, it actually does go both ways. So then all those ways things could happen would be simultaneous "parallel universes". All happening at once like the way all the ways an electron can go happen at once.

It's often tied up with the idea that if you make a decision, that there may be a parallel universe where you make a different decision. But in its quantum mechanical sense it is an idea that every time there is a quantum state with multiple possible solutions, that all of them actually happen. So, there would be vast numbers of parallel universes branching off every millisecond from all the possible state and position changes of every particle the universe. It is one way of making sense of quantum mechanics, but it requires a vast proliferation of parallel universes to make it work.

This is called the "many worlds interpretation" of quantum mechanics