Fieldsets are a group of fields treated as one field e.g a fieldset field "address" with the individual fields street, zip, and city. Relations allow us to link Content Items together and provide context about the relation e.g. linking two images to a document and declaring for one image that it is the hero shot and for the other image that it is the logo, or connecting all images for a 360view of a product. You use the corresponding schema (which groups the fields) in fieldsets and relationship fields. Examples are:
Fieldset "address" (fields: street, zip, city)
Relationship "Referenced content" (fields: title, media type)
The main benefit is that users only add one metadata field (type fieldset or relationship) and they get a set of fields for strictly structured data input. The fields of this schema are linked in the fields of type relationship or fieldset. Depending on the field settings users (or external applications) can add one or multiple instances to the item.