On a website, focus indicators help users understand which element they are on, and has the keyboard focus. This helps them understand which part of the website they are on when hey navigate your website. People who are visually impaired and need assistance from a screen reader, those with limited mobility, and even those with injuries like carpal tunnel, need this kind of navigation. Even those who don't have any disability may find this kind of navigation easier.
By default, browsers use a blue outline as these focus indicators. However these aren't very nice to look at and may not match your website's aesthetic. UX designers can design focus indicators that match their website style and go with their brand aesthetic. Use bold colours with a good contrast so that it stands out from the rest of the content.