Penetration depth is a measure of how deep light or any electromagnetic radiation can penetrate into a material. It is defined as the depth at which the intensity of the radiation inside the material falls to 1/e (about 37%) of its original value at (or more properly, just beneath) the surface.
When electromagnetic radiation is incident on the surface of a material, it may be (partly) reflected from that surface and there will be a field  containing energy transmitted into the material. This electromagnetic field interacts with the atoms and electrons inside the material. Depending on the nature of the material, the electromagnetic field might travel very far into the material, or may die out very quickly. For a given material, penetration depth will generally be a function of wavelength.