The “The“ in the name is to be ignored. There are quite a few threads. Anyway, a Thread is a timeline. It contains every place and event that has occurred in it‘s timeline. Each Thread has its own color, and there are no Threads with the same color as others. Those who access a Thread of their own timeline may use it as space and time travel, and those who discover a Thread of a different timeline they will be vaporized. However, very few humans have made it to either. Anyway, there is a species that have made it to the Threads. They’re humanoids. Not much else is known. Also, Threads are created by Chunky Cheese, and he uses soup to add new events and places. After a LOT of time, they begin to show signs of damage and fall apart due to the amount of soup that has been poured on them. They can be repaired if Chunky Cheese notices they're damaged, which he does for he is all seeing.
When species from one Thread realize the existence of another Thread, these two threads may become loosely connected, causing a catastrophic event known as the Entwining Apocalypse. During this, the Threads will begin to tighten their connection, causing galaxies and such to be shoved together, causing more cataclysmic changes, to the point where eventually all universes in a thread will be destroyed and time will be broken. The Spool is the largest example of connected threads, housing almost all Threads.
Long ago, no Threads were connected, until Chunky Cheese discovered them and connected them all in The Spool. This did cause all the universes to be destroyed, but then Chunky added new ones. That is the origin of all pre-Thread existence.