A look in the dictionary tells us that a “credential” is “a document or certificate proving a person’s identity or qualifications.” In computing, it means the username and password that protect a digital asset. It is loosely used to include all the information you need to access that asset, which sometimes includes a URL, server address, or database host name. For example SFTP credentials would mean: SFTP hostname, port number, username and password.
For a complete list of credentials you should keep on file for your WordPress site, read What Credentials Do I Need for my WordPress Site?