A Physics Constraint is basically a type of joint. It allows you to connect two Actors together (presumably one physically simulating), and also apply limits or forces. Unreal Engine 4 has a very flexible and data-driven constraint system that allows designers to make many different types of joints simply by changing some options. The engine has a few default joint types (ball-and-socket, hinge, prismatic) but they only differ in their settings. You should feel free to start with any joint type and experiment with making your own configurations.
In the content example, working from left to right:
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Swings freely on its first axis, has a 45 degree limit on the 2nd, and is locked on the "twist" axis.
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This cube is has a free motion on Angular Swing 2Motion, and locked on the others.
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Free on Twist, locked on the others.
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The last cube is free on all axes.