The cookies that are set on your browser from other domains than the one you are currently in. In other words third party cookies are set by cross origin/site/domain requests.
ie while the server hosting a web page sets first-party cookies, the page may contain images or other components stored on servers in other domains (for example, ad banners), which will set third-party cookies if clicked/accessed .
For example
- If you visit claryforme.com blog and on the blog there is a link to medium.com article. This would be a cross origin request (clarifyforme.com is making request to medium.com) Any cookies set by medium.com would be third party cookies.
- Any xhr request made from clarifyforme.com to any other domain would lead to third party cookies.
- Any xhr request made from clarifyforme.com/somepage to clarifyforme.com/anotherpage would lead to first party cookies.
Some browsers block third party cookies (ie third party cookies cannot be set). Chrome is planning to stop supporting third party cookies in 2022.