Yarn is a long continuous length of interlocked fibres,
suitable for use in the production of textiles, sewing, crocheting,
knitting, weaving, embroidery, or ropemaking. Thread is a type of yarn
intended for sewing by hand or machine. Modern manufactured sewing
threads may be finished with wax or other lubricants to withstand the
stresses involved in sewing. Embroidery threads are yarns specifically
designed for needlework.
Yarn can be made from a number of natural or synthetic fibers, or a
blend of natural and synthetic fibers.
You can read more about yarn and it's many uses on Wikipedia.