A Skybox is a box of six textures which wraps the entire scene and give the player the impression of a complex surroundings in your world, for example a starry sky or a group of clouds in the horizon.

You can add a Skybox to your scene in two ways. The first one is to define a Default Skybox in the Render Settings, or you can choose a custom skybox for your camera, in case you want to have different skyboxes depending on which camera is currently on. Just note that the custom Skybox will override the default one, so if you don't define it the default one will always be applied.

If you don't have any Skyboxes, don't worry, the Unity Standard Assets collection contains some of them. To import them, go to Assets -> Import Package -> Skyboxes . You'll then find them in your Project window, in the Standard Assets -> Skyboxes folder.

Default Skybox

Go to Edit -> Render Settings, and use the Inspector to modify our settings.

We need to put our Skybox in the "Skybox material" property. So, click on the circle next to it, and select your preferred Skybox material. For example, I'm selecting "Sunny2 Skybox".

And here's the result:

Custom Skybox

Select the camera in which you want to apply a custom skybox in the Hierarchy, then use the Component menu to add the Skybox component using Component -> Rendering -> Skybox.

Here, select the Skybox material in the same way as before. The custom skybox will override the default one.

Remember the Camera Clear Flags as Skybox in this case: