Historically, a webpage would need to download everything it needs to render a page during the initial loading of the page. This meant that it was impossible to fetch new data in response to user actions, like loading the next stories in a list when the user scrolls down a feed. Asynchronously loading new data is a key feature for making interactive apps, and it is the problem that AJAX solves.
AJAX refers to the ability of a browser to make new HTTP requests asynchronously. It was spearheaded in 2004 with (then) innovative apps like Gmail and Google Maps, which could magically pull in new map tiles as you panned to new areas.
The fact that it is called “XMLHttpRequest” instead of simply “HttpRequest” seems to be an unfortunate historical accident.
AJAX is now just a blanket term that refers to any type of asynchronous network call made by a web app, be it for an image, structured data, or anything else.
To run a web app, the browser needs to download the code the construct the site and the data to populate it. It is an extremely common pattern for the code to be downloaded on page load and the data to be loaded in after the webpage loads using an AJAX request.