Basically, different light sources are actually coloured. For example at sunset, the sunlight is obviously very orange, but in the middle of the day, much less so. What we don’t see is that on a cloudy day, it’s actually a bit bluer than a sunny day, and in the shade, even more blue.
We don’t usually notice it with our eyes, and our brains unconsciously convert the colours so that white things look white, but the camera isn’t clever enough to adapt like that, and it can make everything look the ‘wrong’ colour. The camera’s white balance setting is a compensation to correct the colour cast.
The white balance settings simply apply a colour cast to ‘correct’ the inherent colour of the light source. For example, in the shade, sunlight casts a blueish tone over everything (compared to straight sunlight). The Shade white balance setting neutralises that by applying a slight orange tint to the picture.
Auto attempts to guess what it should be, but as Lisa says, it’s just a machine making a calculation.

Once I’d grasped what was actually going with white balance, I remember the penny dropping, and realising it was a creative tool, just as much as aperture and shutter speed. And if you practice and play with it, you can learn to use it properly like Lisa and get those lovely warm colours.