Never is the void encompassing The Building. It is so huge that even if you were traveling infinitely fast towards Never's borders, you would still never reach it even after an infinite number of years.
There is absolutely nothing inside Never except for The Building and small pockets of dark matter and Glitchonicite that float around endlessly.
Never is also entirely pitch black since there is no light source in Never that is outside of The Building. Also, the further you go into Never and away from The Building, there will be a dark fog that keeps getting thicker the further you go. That makes exploring Never extremely hard.
If you get far enough away from The Building (approximately The Room lengths away), you will slowly start to fade away from reality, along with whatever you brought with you. Any material, no matter how strong or durable it is, will soon be gone entirely, the longer you wait out here.
The reason Never is called "Never" is because it is never possible to reach Never's borders, since they are unimaginably far away. It is technically possible to escape Never's borders by using Glitchonicite to corrupt Never, opening up dimensional portals to escape. That however, has not been tried yet.