Cross Site Tracking Cookies
The following is my understanding after reading articles from the internet. It might contain false information
Example
Imagine shoe.com integrates a 3rd party tracking service tracking.com through <script> tag. When peter visits shoe.com, behind the scene the script will run and issue a request to tracking.com, the response returned from tracking.com will instruct the browser to set a cookie, let’s say, uid=1234-5678. The reason tracking.com wants to set this cookies is because it wants to identify Peter (1234) and the site he visits (5678) with a value.
Later Peter visits social.com, which also integrates tracking.com. Again, behind the scene, the script will run and issue a request to tracking.com with the cookie uid=1234-5678. The request can bring this cookies to tracking.com server is because it is set by tracking.com previously. tracking.com server gets the cookie, knows this person (Peter) once visited shoe.com, then shows a shoe ad on the page.