The multiverse is the set of dimensions (alternate universes) including the dimension in which we live. Together, these dimensions comprise everything that exists.
The multiverse is formed by the various dimensions that form the infinite web of parallel universes. These dimensions vary from each other, some slightly, others in an infinite variety of ways with new dimensions forming every time a significant decision is made by someone. Through The Movements, people within one dimension can travel into the bodies of alternate versions of themselves within another dimension, leaving behind there current body in a comatose state.
There are certain entities that reside beyond, or perhaps between, dimensions. These beings navigate and travel the multiverse through the movements and posses a much higher degree of awareness to the cosmos than humans do. Whether these beings are deities or not is not yet known. These beings can interact with humans throughout the multiverse through N.D.E's (Near Death Experiences) and can choose to teach these humans the movements, allowing them to travel the multiverse. Khatun is the only higher being we've seen in the series. She interacted with Prairie Johnson as a child after her first N.D.E. and took her sight to prevent her from seeing the horrors ahead of her should she choose to return to her dimension. She later told Prairie, after her imprisonment, about the multiverse and the invisible river that connects all dimensions. She taught Prairie the first movement after restoring her sight, stating it was "A method of travel unknown to humans".