State machines are what game engines use to control what animations are being played and when and how they blend and transition. State is a reference to the Characters current state such as walk, stand, idle, turning left, dying, etc. It can be used to set up conditions and flow for animations in your game. Below is a link to using one in Unity.
The following link goes into more detail about sub-states. This would be for example when a going to one state means it will transition between several states such as the starting state of standing then a transition to a sub-state where it will have a stand to run then a looping run state.
and its script reference