Multithreading allows a program to split into multiple subprograms called threads that can run concurrently. Threads go through various states like new, runnable, running, blocked, and dead. There are two main ways to create threads: by extending the Thread class or implementing the Runnable interface. Threads can have different priorities that influence scheduling order. Multithreading allows performing multiple operations simultaneously to save time without blocking the user, and exceptions in one thread do not affect others.