Non-fiction is a broad class for works based on fact or theory about the real world. The fact can be scientific, historical or even opinion, such as philosophy or etiquette. This is in contrast to works of fiction, which while they may be based on a skeleton of actual events are primarily created with imagination.
In general, fictional works must be rooted in a situation that the reader can also imagine. Non-fiction often deals with new ideas or situations with which the reader might not have been familiar. This sometimes leads to the sense that fiction is more believable than non-fiction. There's an old saying that, "truth is stranger than fiction."